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st: questions about xtabond2

From   Samia Tavares <[email protected]>
To   [email protected]
Subject   st: questions about xtabond2
Date   Sun, 26 Nov 2006 12:29:06 -0500

I submitted a question about xtabond2 but got no response, so I'll rephrase it (and add a couple of others that came up):

1. I'm a bit confused about the distinction between predetermined and strictly exogenous variables. From what I understood, predetermined variables go in the gmmstyle option and strictly exogenous ones go in the ivstyle one. But what is the difference? I thought it was that if a variable becomes endogenous when differenced, it goes in the gmm option. But if that is the case, the help file says you can simply specify eq(level) in the iv option.

2. Related to this, and just to make sure, you cannot have a variable in both the gmm option and the iv option at the same time, right?

3. In one dataset, I have 3 years corresponding to 3 US presidential elections--1996, 2000, and 2004. I constructed the lagged dependent rather than relying on Stata's time series command (so the lagged dependent is for 1992, 1996, and 2000). Data are at the county level for one state. My question is about tsset. Would I do tsset county year, even though the years are 4-years apart? Or would I create a time variable so that 1996=1, 2000=2, and 2004=3 then do tsset county time? The answers differ depending on how I do tsset.

4. What if some of your independent variables don't vary with time but a dynamic panel model makes sense due to the nature of the dependent variable? Can the command still be used?

Thanks in advance.

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