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re: st: issues with xtabond2
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
re: st: issues with xtabond2
Date
Mon, 28 Nov 2011 13:56:04 -0500
<>
My model originally used fixed-effects estimation but since one of the
independent variables is a lagged term of the dependent variable, I believe
I'm violating the strict exogeneity assumptions which is why I was trying to
use a dynamic panel estimator such as GMM. Is there another possible
approach that you can recommend for dynamic panel estimation?
The Anderson-Hsiao estimator, which is an IV approach as well, but uses 'true' lags as IVs. A-B DPD is a 'better mousetrap" if T is really small, but in your case it is not. help xtivreg or, from SSC, help xtivreg2 (by Mark Schaffer).
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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