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st: RE: xtabond


From   "Dimova, Ralitza" <Ralitza.Dimova@econ.kuleuven.ac.be>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtabond
Date   Tue, 16 Sep 2003 12:06:33 +0200

Hi Mine,

I also had trouble using time dummy interactions with the xtabond command. In fact, I couldn't figure out a way whereby the program does not automatically include year dummies in the regression. Have you?

Have you tried using the Gauss DPD instead? It turned out easier than I expected. And it is very flexible in specifying instruments with the "right" lags. If you are interested I can send you a detailed algorithm and there are also good descriptions on the Arellano's website.

Ralitza 

-----Original Message-----
From: Mine Zeynep Senses [mailto:msenses@umich.edu]
Sent: Tuesday, September 16, 2003 5:00 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: xtabond 


Hi,
I sent this e-mail a while ago and I got no reply. I am sort of hoping
that somebody who used this command joined the list in the meantime. sorry
for duplicates but I am sort of getting desperate!!
so any little help will be very appreciated.
mine

> I have a question regarding the xtabond command. I am using:
> xi: xtabond  investment_2, lags(1) maxlags(3) pre(sales_k, lag(0,3))
> pre(cash_k, lag(0,3)) diffvars(i.year i.industry)
>
> I want to add an interaction variable:  year*cash_k. Year is a dummy
> variable and cash_k is predetermined. So what i would like is to
> instrument this variable with year*cash_k(lag) etc. Defining it
> predetermined will use (year*cash_k)(lag) which is probably not right.
>
> is there a way to do this? I will appreciate any help.
> mine

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