> Andrea
>
> You may want to look at my Stata Journal paper, where the
> assumptions required by -xtlsdvc- are spelled out in detail:
>
> http://ideas.repec.org/a/tsj/stataj/v5y2005i4p473-500.html
>
> or its unpublished version
>
> http://ideas.repec.org/p/cri/cespri/wp165.html
>
> Just a quick answer here: strictly exogenity is a required
> assumption for the current version of -xtlsdvc-. Failing that,
> the bias approximation computed by the code is not correct.
>
> Giovanni
>
> Scrive sistoand80 <[email protected]>:
>
> > Hi, could any one explain me what happens when, using xtlsdvc and
> > initializing with a consistent estimator (say, for example, Arellano and
> > Bond) the diagnostic tests fail to support for fully exogeneity of the
> > instrument set or absence of AR(2) serial correlation? (more precisely,
> > Sargan test's p-value is 0.000 and AB AR(2) test fail to reject the presence
> > of AR2 serial correlation, suggesting several problem in my instrument set).
> > Are the corrected lsdv estimates biased? Are consistent...My problem is that
> > I suppose that a partition of my instrument set is to be treated as
> > predetermined (I've checked with xtabond, setting some variables as
> > predetermined and verifying the robustness of the diagnostic tests) but
> > xtlsdvc treates all regressors as strictly exogenous. How can I deal with
> > this problem?
> > Thank you in advance for the replay
> >
> > Andrea Sisto
> > University of Turin (Italy)
> >
> >
> >
> > ------------------------------------------------------
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> >
> >
> > *
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> >
>
>
> --
> Giovanni S.F. Bruno
> http://ideas.repec.org/e/pbr136.html
> Istituto di Economia Politica, Universit� Bocconi
> Via U. Gobbi, 5, 20136 Milano
> Italy
> tel. + 02 5836 5411
> fax. + 02 5836 5438
> *
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>
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