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From |
Pedro Ferreira <pedro.ferreira.cmu@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtabond with constraints |

Date |
Mon, 8 Aug 2011 20:07:03 -0400 |

Thanks Nick, I have included that approach in my previous message. However, there is a dynamic panel nature to what I am trying to do. Using your variable names below, in my case y = x(t+1) and I have x(t) on the right hand side. I am wondering if you have any insight about what is best: xtabond with y_2 as a function of x(t) or reg3 with the constraint that the coefficient on x(t-1) should be -1 (using the other equations in reg3 to instrument x(t) and x(t-1) with lags)? Thanks a lot! Pedro On Mon, Aug 8, 2011 at 12:51 PM, Nick Cox <njcoxstata@gmail.com> wrote: > 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 > <pedro.ferreira.cmu@gmail.com> 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/ > * * 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:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: xtabond with constraints***From:*Pedro Ferreira <pedro.ferreira.cmu@gmail.com>

**Re: st: xtabond with constraints***From:*Nick Cox <njcoxstata@gmail.com>

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