When using xtabond2, if some exogenous variables (or
predetermined) are omitted from the gmm() portion of
the equation (but are included in the main equation),
does this result in inconsistent estimates (as in
2SLS)or are they still consistent (as when using
generalized
instrumental variables)?
e.g.,
xtabond2 g l.g l.h l.r l.s l.m l.incometenthou,
iv(l2.c l2.a) gmm(l.g l.h l.r l.s l.m) twostep
noconstant robust artests(4)
vs.
xtabond2 g l.g l.h l.r l.s l.m l.incometenthou,
iv(l2.c l2.a) gmm(l.g l.h l.r) twostep noconstant
robust artests(4)
where variables s and m are omitted? Are both
estimated equations consistent or does dropping these
two variables from the gmm() result in inconsistent
estimates?
Thanks,
Tim Brown
UC Berkeley
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