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Marius Rebane <firstname.lastname@example.org>
Fri, 6 Dec 2013 05:45:12 +0100
I have a question about correct syntax for xtabond2. I would need to use instruments that are lagged levels (two periods) of the dependent variable (A), and two independent variables (B and C) for the differenced equation, and lagged difference (one period) for the level equation; strictly exogenous variable E is instrumented by itself in the differences equation. How shall I specify it correctly?
xtabond2 A l.A B C E, gmm (A B C, lag(1), equation (level), A B C, lag(2), equation (diff)) iv (E) twostep??
Many thanks in advance,
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