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From |
"Lovisa Persson" <lovisa.persson@nek.uu.se> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: heterogenous year effects using xtabond2 |

Date |
Wed, 16 Jan 2013 13:37:43 +0100 |

Hello everyone, I have a question about the xtabond2 command, which is a user written command. I am using Stata 12.1 for windows. I am estimating the consumption sensitivity to income, using a panel data set on Swedish municipalities. This is how I write my main command... xtabond2 consumption income dum1-dum19, gmm(income, laglimits(3 5)) iv(dum1-dum19) robust noleveleq artests(3) dum1-dum19 is a full set of year dummies. Now I want to allow for the coefficient on "income" to be different for different time periods. More specifically, if the coefficient on income is different before and after a reform in year 2000 I am studying. I can compare estimates before and after 2000 by splitting the sample and first drop all observations after 1999 and simply run my command, this is the ?before? estimate. Then I drop all observations before 1997, and get the ?after? reform estimate. Why not split at 2000? Well because, the first year ?after? I want to estimate is year 2000, and for this I need the third lag which is 1997. I am using years before the reform as instruments, but not estimating any years before, this is automatic since there are no instruments for these years. My question is how to compare these two time periods with an interaction term, and indicator of which period we are in interacted with income, instead. If I construct a dummy for all years from 2000 and onwards, lets call it ?after?, and interact it with income, ?afterinter? I get the following model to estimate. xtabond2 consumption income afterinter after dum1-dum19, gmm(income, laglimits(3 5)) gmm(afterinter, laglimits(3 5)) iv(after dum1-dum19) robust noleveleq artests(3) However if ?afterinter? is instrumented only by itself, and not ?income?, the result will be that three years will be dropped in the estimation of ?afterinter? since it contains only observations from 2000 and onwards and the first year that can be estimated is 2003. I am then comparing period 1996-1999 with 2003-2011 and not to 2000-2011, which I would want to do. The estimate for the interaction is indeed not the same as the difference between the two estimations I described earlier, so the command line is not equivalent with the sample splitting procedure, as I want it to be. How can I proceed with the xtabond2 command, allowing for heterogenous effects in time periods, or even during single years, using an interaction term. Thank you for your kind help, Lovisa Persson Ph.D. Student Department of Economics Uppsala University * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

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