------------------------------------------------------------------------
--------
Tewodaj Mogues <[email protected]> is having trouble limiting the lags
that
-xtdpd- uses to create moment conditions.
The short answer is that Tewodaj should specify numbers for the first
and
last lags used, e.g. dgmmiv(y, lagrange(2 3)) will create moment
conditions
using lags 2 and 3 and the differenced errors.
What follows is more a detailed answer.
Tewodaj was on the right path. Reproducing -xtabond- and -xtdpdsys-
results
with is a good place to start answering questions about the -xtdpd-
syntax.
When using this strategy, remember that all three dynamic panel-data
commands have a footer that says which instruments were used.
Let's begin with an -xtabond- example that only uses the first 5
available
lags of the dependent variable to create instruments.
. webuse abdata
. xtabond n w k , maxldep(5)
Arellano-Bond dynamic panel-data estimation Number of obs =
751
Group variable: id Number of groups =
140
Time variable: year
Obs per group: min =
5
avg =
5.364286
max =
7
Number of instruments = 28 Wald chi2(3) =
1169.50
Prob > chi2 =
0.0000
One-step results
------------------------------------------------------------------------
------
n | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
n |
L1. | .4656755 .0601311 7.74 0.000 .3478208
.5835302
w | -.6198203 .0509389 -12.17 0.000 -.7196587
-.5199819
k | .3469762 .0307059 11.30 0.000 .2867938
.4071586
_cons | 2.635807 .1895574 13.91 0.000 2.264281
3.007333
------------------------------------------------------------------------
------
Instruments for differenced equation
GMM-type: L(2/6).n
Standard: D.w D.k
Instruments for level equation
Standard: _cons
The output indicates that -xtabond- is using lags 2 through 6 to create
GMM-type instruments for the difference equation. This implies that we
should specify the option -lagrange(2 6)- in the dgmmiv() option in
-xtdpd-.
Here is an example
. xtdpd L(0/1).n w k , dgmmiv(n, lagrange(2 6)) div(w k)
Dynamic panel-data estimation Number of obs =
891
Group variable: id Number of groups =
140
Time variable: year
Obs per group: min =
6
avg =
6.364286
max =
8
Number of instruments = 28 Wald chi2(3) =
1169.50
Prob > chi2 =
0.0000
One-step results
------------------------------------------------------------------------
------
n | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
n |
L1. | .4656755 .0601311 7.74 0.000 .3478208
.5835302
w | -.6198203 .0509389 -12.17 0.000 -.7196587
-.5199819
k | .3469762 .0307059 11.30 0.000 .2867938
.4071586
_cons | 2.635807 .1895574 13.91 0.000 2.264281
3.007333
------------------------------------------------------------------------
------
Instruments for differenced equation
GMM-type: L(2/6).n
Standard: D.w D.k
Instruments for level equation
Standard: _cons
-xtdpdsys- works analogously. Specifying -maxldep(5)- causes -xtdpdsys-
to
use the first 5 available lags, which will be lags 2 through 6. Here is
an
example.
. xtdpdsys n w k , maxldep(5)
System dynamic panel-data estimation Number of obs =
891
Group variable: id Number of groups =
140
Time variable: year
Obs per group: min =
6
avg =
6.364286
max =
8
Number of instruments = 35 Wald chi2(3) =
4644.61
Prob > chi2 =
0.0000
One-step results
------------------------------------------------------------------------
------
n | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
n |
L1. | .5292982 .0419181 12.63 0.000 .4471402
.6114562
w | -.6249517 .0509272 -12.27 0.000 -.7247673
-.5251362
k | .3358337 .0236543 14.20 0.000 .2894721
.3821954
_cons | 2.577968 .1774118 14.53 0.000 2.230247
2.925688
------------------------------------------------------------------------
------
Instruments for differenced equation
GMM-type: L(2/6).n
Standard: D.w D.k
Instruments for level equation
GMM-type: LD.n
Standard: _cons
The output says that -xtdpdsys- used lags 2 through 6 of -n- to create
instruments for the differenced errors. Here is an example in which
-xtdpd uses the same set of instruments.
. xtdpd L(0/1).n w k , dgmmiv(n, lagrange(2 6)) div(w k) lgmmiv(n)
Dynamic panel-data estimation Number of obs =
891
Group variable: id Number of groups =
140
Time variable: year
Obs per group: min =
6
avg =
6.364286
max =
8
Number of instruments = 35 Wald chi2(3) =
4644.61
Prob > chi2 =
0.0000
One-step results
------------------------------------------------------------------------
------
n | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
n |
L1. | .5292982 .0419181 12.63 0.000 .4471402
.6114562
w | -.6249517 .0509272 -12.27 0.000 -.7247673
-.5251362
k | .3358337 .0236543 14.20 0.000 .2894721
.3821954
_cons | 2.577968 .1774118 14.53 0.000 2.230247
2.925688
------------------------------------------------------------------------
------
Instruments for differenced equation
GMM-type: L(2/6).n
Standard: D.w D.k
Instruments for level equation
GMM-type: LD.n
Standard: _cons
I hope that these examples are helpful.
--David
<[email protected]>
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