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st: Re: WG: Strict exogeneity and xtivreg2

From   "Rodrigo A. Alfaro" <>
To   <>
Subject   st: Re: WG: Strict exogeneity and xtivreg2
Date   Fri, 10 Nov 2006 19:47:24 -0500

Arellano-Bond is a linear GMM estimator... not IV. For example, for AR(1) 
model y(i,t) = a(i) + b*y(i,t-1) +e(i,t), AB is a weighted average of IV 
estimators for t=1,...T-1. All of them using "t" instruments (the lags). You 
don't have lags of your dependent in your specification you don't need AB. 

----- Original Message ----- 
From: "Christian Arndt" <>
To: <>
Sent: Friday, November 10, 2006 11:58 AM
Subject: st: WG: Strict exogeneity and xtivreg2

Dear statalisters,

I am using lags of an endogenous variable in a macro panel
setting, because I think of it as predetermined.

So I use xtivreg2 and have something like:
xtivreg2 employment = (capital wages = l1.wages),
fe robust (with some more instrumented variables), altogether
exactly identified.

When I think of my right hand side variables as
predetermined, past values of them are not influenced by
employment_t. But, current and past values are not strictly
exogenous, and hence endogenous in case of the fe-Estimator
(with time-demeaning).

1. Is xtivreg2 with the fe option robust to this problem, as e.g. the
predetermined option in xtabond (wich uses first differences of the 
dependent var.)? Oder do I also need strict
exogeneity of the instruments? (I only found a very general answer to a less 
specific question in the faq-list up to now)
2. Why is it, if point 1. should be no problem, that in the in 
the case of the
fe-option, they use only l2.n and l3., but not l1.n and l2.n as
in the case of the fd option?

Kind regards and thanx for help!

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