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st: new features for cmp and xtabond2

From   "David Roodman (" <>
To   "" <>
Subject   st: new features for cmp and xtabond2
Date   Tue, 17 Apr 2012 01:12:04 +0000

I've added the following features:
* cmp now has a covariance option that makes it easier to impose certain constraints on the error covariance matrix for each level of a model. So in a two-level model "covariance(independent unstructured)" would specify that the random effects are not correlated across equations while leaving the covariances at the observation level unconstrainted. As another example, "covariance(exchangeable exchangeable)" specifies that at each level all correlations between pairs of errors are the same. See the help for xtmixed for more on these ideas.
* xtabond2 now accepts factor variables.
* xtabond2 now offers two options to use principal components analysis to reduce the instrument count. Option "pca" specifies that xtabond2 replace the "GMM-style" instruments with their principal components. By default, it keeps all components with eigenvalue greater than 1, or more if necessary to prevent underidentification. Option "components()" allows you to override this default. The help file contains an example.

Install each by typing "ssc install [program name], replace" and restarting Stata.

David Roodman
Senior Fellow
1800 Massachusetts Ave. NW
3rd floor
Washington, DC 20036
Center for Global Development
Independent Research and Practical Ideas for Global Prosperity
Phone: 1 202 416-4023

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