Grant,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Grant Peter Kabango
> Sent: Tuesday, December 18, 2007 10:09 AM
> To: [email protected]
> Subject: Re: Re: st: Problematic Result with two-step System GMM.
>
> Thank you statalist,
>
> Yes I am using xtabond2 with the following command line:
> xtabond2 CR L.CR L(0/1).(MCY NE G) yr*, gmm(L3.(L.CR L2.MCY
> L.NE)) ivstyle(L(0/2).G yr*) two robust. Unfortunately, I
> have not come accross any literature that explains on how I
> can use either the lag() or collapse options.
To repeat what Nicola said, David Roodman's working paper, cited in the
xtabond2 help file, provides a thorough and user-friendly discussion of
xtabond2 and its options, including lag and collapse.
--Mark
>
> Grant.
> -----Original Message-----
> From: [email protected]
> To: [email protected]
> Date: Fri, 14 Dec 2007 18:59:51 +0100
> Subject: Re: st: Problematic Result with two-step System GMM.
>
> You may find a reply if you provide exactly the command-line
> you used and the output from which you guessed that you have
> too many instruments. From your e-mail, I guess you are using
> -xtabond2- and you need to work with lag() option to reduce
> the number of instruments, or collapse option. Read carefully
> the help file and author's working paper referenced in there.
>
> Nicola
>
> At 02.33 11/12/2007 -0500, Grant Peter Kabango wrote:
> >I am using two-step System GMM for my estimation, with a
> panel which has 20 industries observed over 35 years
> (i.e.T=35 and N=20). However, the results show that I have
> too many instruments. I have been trying to collapse the data
> but I do not know how to go about it. Pleasehelp.
> >
> >Further, my estimated coefficients carry opposite signs in
> levels and in the first lag, for each variable. Is this
> normal or there is something I could be doing wrongly.
> >
> >Please Help
> >
> >Grant Kabango
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
