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st: instrumenting Moving average variable

From   Søren Møller-Larsson <>
To   <>
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
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