Danielle,
If I understand correctly, you are saying that L.binge_30 is
exogenous in first differences. In this case you need to
explicitly "instrument" it with itself with an iv() clause:
xtabond2 sex_12 L(sex_12 binge_30) age_mo, gmm(L.sex_12) iv(binge_30)
noleveleq
This puts binge_30 in both the regressor and instrument matrices, in
first differences.
Kit is right of course that all of the instruments actually
instrument all of the regressors, so that it is not technically
correct to talk of particular instruments instrumenting particular
regressors. However, it is still a meaningful notion. A instrument
instruments a particular variable to the extent that the instrument's
unique variation is correlated with the variable's unique variation.
--David Roodman, author of xtabond2
--- In [email protected], Danielle H Ferry <dferry@g...>
wrote:
> Hi all,
>
> Can someone please clarify what Stata does w/ the following two
commands?
>
> 1) xtabond2 sex_12 L(sex_12 binge_30), gmm(L(sex_12 binge_30))
noleveleq
> 2) xtabond2 sex_12 L(sex_12 binge_30) age_mo, gmm(L.sex_12)
noleveleq
>
> 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?
>
> Thanks,
> Danielle Ferry
>
>
>
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