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AW: st: AW: System GMM with xtabond2


From   "Dithmer, Jan" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   AW: st: AW: System GMM with xtabond2
Date   Tue, 4 Mar 2014 13:07:19 +0000

No, the term lags (1 1) defines that only the first lag is taken as an instrument,
and you want to instrument the lagged dependent variable with its first lag and not the dependent variable.

-----Ursprüngliche Nachricht-----
Von: [email protected] [mailto:[email protected]] Im Auftrag von Florian Schwab
Gesendet: Tuesday, March 04, 2014 1:52 PM
An: statalist
Betreff: Re: st: AW: System GMM with xtabond2

The term lags (1 1) inside the gmm() term should do exactly this, no?

2014-03-04 10:41 GMT+01:00 Dithmer, Jan <[email protected]>:
> Yes, because you instrument the dependent variable (not the lagged dependent variable) according to your code.
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected] [mailto:[email protected]] Im Auftrag von Florian Schwab
> Gesendet: Monday, March 03, 2014 6:11 PM
> An: statalist
> Betreff: st: System GMM with xtabond2
>
> Hello Statalist
>
> for a panel of individuals, I would like to estimate a function explaining the probability of being arrested (y) dependent on
>
> - the lagged dependent variable y(i, t-1), to say: having been arrested the year before
> - a vector X(x1(i,t-1), ..., x10(i,t-1)) of the individuals characteristics (first lag), all of which are used as instruments
> - a vector Z(z1, ..., z4) of presumably strictly exogenous variables such as overall criminality rate, labor market participation rate etc.
>
> my corresponding Stata command is
>
> xtabond2 y L.y x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 z1 z2 z3 z4, gmm(y x1 x2
> x3 x4 x5 x6 x7 x8 x9 x10, lags(1 1) collapse) iv (z1 z2 z3 z4) twostep robust
>
> However, I don't get a significant effect of L.y which is fairly unlikely since all comparable studies find one.
>
> Is there something wrong with the specification of the xtabond2 command ?
>
> Thanks in advance.
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