Katarina,
Quoting Katarina Lynch <[email protected]>:
> Thank you, Mark!
>
> >
> >The Sargan(-Hansen) stat at the bottom of the xtabond output is a
> test of
> >your orthogonality conditions, i.e., that your exogenous
> independent
> >variables and instruments are indeed exogenous.
> >
>
> Before using xtabond command how can I determine which variables
> should be
> lagged as instruments? Should I run xthausman command for each
> regressor? Or
> is it totally up to my intuition?
"Priors" is probably a better choice than "intuition" when you write up
your results. -xthausman- won't help because in that framework, fixed
effects is consistent, and if that were so, you wouldn't need -xtabond- or
its sibling -xtabond2-.
> One more question, does xtabond command take first differences
> automatically, or should I do it by myself?
It's automatic. And before you go further, you might want to have a look
at David Roodman's -xtabond2-.
--Mark
>
> Thanks in advance!
>
> Katarina
>
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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