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From | San K <devank@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: xtabond2 - How deep can the instrument go? |
Date | Wed, 9 May 2012 00:28:33 +1000 |
Dear all, My panel consists of 9000 houses X 22 quarterly metered consumption. Unfortunately I have lot of persistence in the data. After basing around different estimators I decided to settle with xtabond2. Here is my simplified semi-log model. xtabond2 y L4.y price L4.price L4.price L4.price L4.price WeatherVar SeasonalDummies, noleveleq gmmstyle(y, laglimits(16 16) equation(diff)) ivstyle(PriceVariables, p) ivstyle((WeatherVariables, equation(diff)) ivstyle(SeasonalDummies, equation(diff)) twostep ar(5) robust I started my instrument from Lag5 but none of them passed the Hansen test or Arellano-Bond test for AR(). My burning question is... is it okay to use the 16th lag as instrument given I have only 22 time steps? Regards, devank * * 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/