I am using xtabond2 and I want to use the ivstyle supoptions equ(level) and
equ(diff) in the proper way.
Therefore I thought that following commands should produce the same results:
xtabond2 Depvar l2.Depvar l2.X1, gmm(Depvar, lag(3 .) equ(both)) iv(l2.X1,
equ(both)) twostep arte(3) small rob
IS EQUAL TO
xtabond2 Depvar l2.Depvar l2.X1, gmm(Depvar, lag(3 .) equ(both)) iv(l2.X1,
equ(level)) iv(l2d.X1, equ(diff)) twostep arte(3) small rob
OR PUT IN ANOTHER WAY
... iv(l2.X1, equ(both)) ... IS THE SAME AS ... iv(l2.X1, equ(level))
iv(l2d.X1, equ(diff)) ...
Reason: Help file of xtabond2 says for the equ(both) command that "... Also
by default, the instruments are first-differenced for use in the
first-difference equations and taken as is for instrumenting the
levels equations. "
However, results differ. Does anybody know, when the extended version with
iv( ., equ(level)) and iv(., equ(diff)) generates the same results as the
iv(., equ(both)) command?
Many thanks in advance
Niko
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