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From |
Nick Cox <[email protected]> |

To |
[email protected] |

Subject |
Re: st: xtabond with constraints |

Date |
Tue, 9 Aug 2011 07:06:57 +0100 |

Sorry, nothing from me on that; that is a question for people who do this kind of thing, but there are plenty of them on this list. Nick On Tue, Aug 9, 2011 at 1:07 AM, Pedro Ferreira <[email protected]> wrote: > 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 <[email protected]> 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 >> <[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/

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

**Re: st: xtabond with constraints***From:*Nick Cox <[email protected]>

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

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