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Re: st: xtabond2 - How deep can the instrument go?


From   urbain thierry YOGO <yogout@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtabond2 - How deep can the instrument go?
Date   Tue, 8 May 2012 18:19:31 +0100

the point is that a rule of thumb in this matter is that the number of
instruments should not exceed the number of id (house).

2012/5/8, San K <devank@gmail.com>:
> 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
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-- 
*Urbain Thierry YOGO
P.h.D candidate in Economics*
*
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