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Re: st: xtabond


From   Mine Zeynep Senses <msenses@umich.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: xtabond
Date   Tue, 16 Sep 2003 13:00:46 -0400 (EDT)

yes!!! this makes a lot of sense!!! and I think thats the thing I was
trying to get at initialy... yeardum* cash_k: the valid instrument is
yeardum*cash_klag(1), yeardum*cash_klag(2)... which is as you say exactly
the same as using lags of cash as instruments!!! your explanation made me
better understand why this is the case!! seperate thanks for that...

do you know if I can do that with stata??? I think stata does not let you
specify the instruments that way... but I am not sure...
thanks again...
mine

PS: Also adding the interaction variable, makes cash_k variable in the
regression  redundant, it looks like. Am I write on that?

> I think this is the key point.  What is the appropriate set of lags
> for the interaction of year and cash_k?
>
> My first reaction would be to say lag(1) of year * lag(1) of cash_k =
> lag(1) of cash_k, lag(2) of year * lag(2) of cash_k = lag(2) of
> cash_k, and so forth.  That is, if the year dummy = 1 this year, then
> the lagged dummy = 1 last year.  This implies that you can't use lags
> of interacted variable yearcash_k for instruments, you use lags of
> the uninteracted cash_k instead.
>
> Does this make sense?
>
> --Mark
>
> > In the literature people usually interact cash variable with
> > a size dummy or something, which is time invariant, and then there is no
> > problem doing it that way...
> > But if you think I am not right on this, Iwill be happy to hear why since
> > I got very good results doing it that way and I will be happy to keep
> > those results!!!
> > best,
> > 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.
> > >
> > > Can you explain why you think this isn't right?  Put another way, I
> > > don't see why you can't define a new variable called yearcash_k which
> > > is the interaction of year and cash_k and simply work with that.
> >
> >
> > >
> > > --Mark
> > >
> > > > >
> > > > > is there a way to do this? I will appreciate any help.
> > > > > mine
> > > >
> > > > *
> > > > *   For searches and help try:
> > > > *   http://www.stata.com/support/faqs/res/findit.html
> > > > *   http://www.stata.com/support/statalist/faq
> > > > *   http://www.ats.ucla.edu/stat/stata/
> > >
> > >
> > > Prof. Mark E. Schaffer
> > > Director
> > > Centre for Economic Reform and Transformation
> > > Department of Economics
> > > School of Management & Languages
> > > Heriot-Watt University, Edinburgh EH14 4AS  UK
> > > 44-131-451-3494 direct
> > > 44-131-451-3008 fax
> > > 44-131-451-3485 CERT administrator
> > > http://www.som.hw.ac.uk/cert
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
> > > *   http://www.stata.com/support/statalist/faq
> > > *   http://www.ats.ucla.edu/stat/stata/
> > >
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
>
>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS  UK
> 44-131-451-3494 direct
> 44-131-451-3008 fax
> 44-131-451-3485 CERT administrator
> http://www.som.hw.ac.uk/cert
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
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