Tomasz,
I think you could do that with the option -ivopt- and -ivstyle-... see
http://ideas.repec.org/p/boc/asug06/8.html for details.
Rodrigo.
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Tomasz Boniek
Enviado el: Domingo, 06 de Abril de 2008 05:47 p.m.
Para: [email protected]
Asunto: st: xtabond2 - variables in level
Hi,
I have a problem with xtabond2. Suppose I run the following:
xtabond2 ln_tfp L.ln_tfp L.rents yr*, gmm(L.ln_tfp L.rents, lag(2 3))
iv(yr*) robust noleveleq small
where yr* are a series of year dummies and the economic meaning of the
other variable is irrelevant for my question.
In this case, if I'm not wrong, I will estimate a one-step difference
GMM. All the variables in this case will be in first difference. My
question is:
Is there a way to avoid differentiation of the variable L.rents? I would
like to use as a regressors (treating it as endogenous) not the first
difference lagged one period (i.e. rents(t-1)-rents(t-2)) but just the
lagged level (i.e. rents(t-1)). Is there a way to do that in Stata?
Thanks for the help,
Tomasz Boniek
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