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Re: st: Error in stata manual on xtdpd?
On Tue, 6 Oct 2009, Hewan Belay wrote:
Dear all,
I was working through the description of xtdpd in Stata's book manual
"Longitudinal Data/Panel Data [XT]". Example 5 of xtdpd in both the
Stata 10 book (p. 78) and the Stata 11 book (p.80) start by specifying
the regression:
xtdpd L(0/1).n L(0/2).(w k) yr1980-yr1984 year,
div(L(0/1).(w k) yr1980-yr1984 year) dgmmiv(n) hascons
But shouldn't the command correctly read instead:
xtdpd L(0/1).n L(0/2).(w k) yr1980-yr1984 year,
div(L(0/2).(w k) yr1980-yr1984 year) dgmmiv(n) hascons
After all, since w and k and their lags included in the regression are
treated as exogenous, the div() command should include also the second
lags since these are specified in the regression. If the stata manual
however is correct in specifying the example, I have not properly
understood the xtdpd command, hence my question.
Many thanks,
Hewan
Hewan is correct.
Here we are treating w and k as strictly exogenous, so the first
differences of those variables can be used as instruments in the
difference equation. Our model includes the first and second lags of
those variables as regressors as well, so we must include the first and
second lagged differences of those variables as instruments for the
difference equation. Therefore, the correct syntax is
. xtdpd L(0/1).n L(0/2).(w k) yr1980-yr1984 year,
div(L(0/2).(w k) yr1980-yr1984 year) dgmmiv(n) hascons
We will correct the example in the manual entry.
-- Brian Poi
-- [email protected]
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