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From |
Nick Cox <[email protected]> |

To |
[email protected] |

Subject |
Re: st: xtabond with constraints |

Date |
Mon, 8 Aug 2011 17:51:26 +0100 |

If the coefficient in x[t-1] must be identically -1 then you can add that variable to the response variable before you fit a model in terms of other predictors. That is y = <some stuff> -x[t-1] ... is equivalent to y + x[t-1] = <some stuff> so model y_2 = y + x[t-1] Nick On Mon, Aug 8, 2011 at 4:37 PM, Pedro Ferreira <[email protected]> wrote: > Dear All, > > I am running a model of x(t+1) on x(t) and x(t-1) plus other controls. > I need to restrict the coefficient on x(t-1) to be -1. Any suggestions > for how to do this? My understanding is that xtabond2 does not allow > for constraints. I can add x(t+1) with x(t-1) and make this my new > dependent variable and instrument x(t) gmm style with deep lags of x, > namely deeper than 4. Is this the best strategy? Another approach I > have considered is to use 3SLS, first equation is just x(t+1) on x(t) > and x(t-1) and I use the other equations to run regressions of x(t) > and x(t-1) on deep lags. Using reg3 allows me to force the coefficient > on x(t-1) to be equal to -1 in the first equation. Unfortunately, reg3 > does not give me the AR tests for how good the lags are as > instruments. Any ideas, thoughts would be highly appreciated. Thanks, * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: xtabond with constraints***From:*Pedro Ferreira <[email protected]>

**References**:**st: xtabond with constraints***From:*Pedro Ferreira <[email protected]>

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