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Re: st: Problem with -estat endogenous- after -ivregress gmm- with time-series operators
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From |
"Brian P. Poi" <[email protected]> |
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To |
[email protected] |
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Subject |
Re: st: Problem with -estat endogenous- after -ivregress gmm- with time-series operators |
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Date |
Fri, 26 Jun 2009 12:01:32 -0500 (CDT) |
On Fri, 26 Jun 2009, Michael Hanson wrote:
As the subject might give away, I believe I have found an obscure bug (a term
I don't use lightly) with -estat endogenous- following an -ivregress gmm-
estimation in which one or more of the variables in the estimation use
Stata's time series operators. Below is a stylized estimation problem (based
loosely on Campbell & Mankiw, 1989, for the curious) that exhibits the
apparent bug.
...
With the announcement of Stata 11 in a month or so, I'm still hoping this
issue will be fixed in an update to Stata 10.
Thanks for any assistance,
Mike
This is a bug in the Stata 10 version of -ivregress-, and it will be fixed
in a forthcoming ado-file update.
Incidentally, Stata 11 does not have this problem. In Stata 11, the Mata
functions st_data() and st_view() allow you to specify time-series-
operated variables and factor variables directly without having to use a
utility beforehand to create temporary variables.
-- Brian Poi
-- [email protected]
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