Actually, I don't really want to do this, but in the interest of
understanding how <xtabond2> and <xtabond> work, suppose I want to
instrument for lagged diff of sex_12 using lagged values of sex_12 &
lagged values of binge_30 but I do not want to instrument for lagged
diff of binge_30. Will (1) get this done? (binge_30 is endog but the
lagged diff of binge_30 does not need to be instrumented for b/c it is
not correlated w/ the error term)
Suppose I want to instrument for only lagged diff of sex_12 using only
lagged values of sex_12. I want to treat lagged diff of binge_30 as
exog. Does (2) do this?
As a prior posting on this thread and many previous postings by Mark
Schaffer and I have indicated, an instrumental variables estimator (and
IV is a special case of GMM) does not work by instrumenting X1 with Z1,
X2 with Z2, etc. All instruments are in the Z matrix, and all
regressors are in the X matrix. The fact that some Zs are also Xs is
taken for granted. Things get more complicated when the A-B estimator
is considered, but the same issue applies: you can't designate
instruments to specific regressors.
