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| From | Søren Møller-Larsson <soren_ml@hotmail.com> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | st: instrumenting Moving average variable |
| Date | Mon, 4 Jun 2012 14:17:52 +0200 |
Dear statalisters I have an dependent variable y, the l.y serves as an explanatory variable and will be instrumented with l2.y. Furthermore I have and a set of exogenous variables x. I use annual data. One of the seemingly exogenous variables are used in 3-year Moving averages resulting in overlapping periods. Therefore I reckon it cannot be interpreted as exogenous anymore and I consider instrumenting it with its third lag or alternatively a lagged excluded instrument. I want to perform the various first-stage tests of either ivreg2 or xtivreg2 to check the instrument validity. How should the 3-year MA variable be treated in a regression like the one below? ivreg2 y x (l.y = l2.y), first ffirst robust gmm2s Any help is appreciated. thanks Regards Soren Aarhus university * * 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/