Re: st: 3SLS with forward differencing

[William Buchanan <william@williambuchanan.net>]

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Thank you,
Billy Buchanan

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> On Nov 21, 2013, at 5:57, Anirudh Tagat <atagat@gmail.com> wrote:
> 
> Hello
> 
> I am currently trying to run an estimation following Lundberg and
> Squire's 2003 paper on the Simultaneous Evolution of Inequality and
> Economic Growth (EJ) -- where the efficient estimation methodology
> used was derived from Keane and Runkle (1992). I am dealing with
> dynamic panel  data similar to that commonly found in cross-country
> analyses (4 periods, across 200 observations), and would like to use
> first-differencing (alternatively forward differencing) and the
> suggested variance-covariance matrix transformations on the
> instruments to eliminate the serial correlation among instruments that
> are only weakly exogenous. So far, I have not been clear on how this
> is best achieved, and if the reg3 or ivreg2 (or xtabond2, which is
> close but does not follow Keane and Runkle) function is indeed the
> appropriate tool. Any suggestions on how to run this estimation (or at
> least implementing the transformation) using Stata would be most
> welcome.
> 
> Many thanks
> Anirudh Tagat
> 
> 
> -- 
> Anirudh Tagat
> 
> Consultant Research Analyst
> The RBI Endowment Unit
> Institute of Rural Management Anand (IRMA)
> PO Box 60, Anand
> Gujarat - 388 001
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