Re: st: 3SLS with forward differencing

[Anirudh Tagat <atagat@gmail.com>]

Dear Billy,

My apologies for not following the statalist rules more precisely. I
am hopeful that this reply conforms more closely to the list
rules/etiquette:

I am currently trying to run an estimation following Mattias Lundberg
and Lyn Squire, "The Simultaneous Evolution of Growth and Inequality",
The Economic Journal , Vol. 113, No. 487 (Apr., 2003), pp. 326-344) --
where the efficient estimation methodology used was derived from Keane
and Runkle, "On the Estimation of Panel-Data Models with Serial
Correlation When Instruments Are Not Strictly Exogenous", Journal of
Business & Economic Statistics , Vol. 10, No. 1 (Jan., 1992), pp. 1-9.

I am using Stata 12.1, and 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) in line with the above mentioned studies. So
far, I have not been clear on how this is best achieved, and if the
-reg3- or -ivreg2- (or -xtabond2- (David Roodman, 2003. "XTABOND2:
Stata module to extend xtabond dynamic panel data estimator,"
Statistical Software Components S435901, Boston College Department of
Economics, revised 22 Sep 2013.), 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
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