st: Re: GMM or 2SLS with cluster adjustment or others

[Kit Baum <baum@bc.edu>]

Generally, no. If the lagged depvar is potentially a regressor, you  
should be looking at xtabond2. See David Roodman's excellent paper

http://ideas.repec.org/p/boc/asug06/8.html


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On May 15, 2008, at 02:33 , Yuluen  wrote:


> Thank you very much! I have one follow-up question on choosing  
> between xtabond (or xtabond2) and xtivreg2 with cluster-robust SEs  
> plus gmm2s. Under what circumstance would it make sense for me to  
> include lagged dependent variables in the model (and thus  
> considering xtabond)? In my case I am looking at factors affecting  
> insurance premiums across countries (premium is my dependent  
> variable). While I am not interested in how last year's premiums  
> affect current premiums, it is possible that current year's  
> premiums are associated with prior year's premiums, and thus I  
> would like to control for that effect. Would xtivreg2 with cluster- 
> robust SEs be sufficient?
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