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st: Arellano Bond first stage regressions

From   "julian estevez" <[email protected]>
To   [email protected]
Subject   st: Arellano Bond first stage regressions
Date   Wed, 29 Jun 2005 15:28:54 -0400

Dear Statalisters:

I am estimating a model using Arellano Bond estimator (xtabond2). Everything works fine. I fail to reject the null hypothesis for the overidentifying restrictions test. Howerever I wonder if there is a routine or a way to get what would be the first stage regressions.

My question is motivated beacause, in general the Arellano Bond estimator is a procedure that tells how to select instruments for the endogenous variables, an in doing so biud a huge instrument matrix. I wonder how powerful the OIR test might be.Specifically, if there are not enough relevant instruments in the "first stage", the OIR may not be powerful. Am I wrong?

Thanks for any sugesstion on this matter.


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