Re: st: RE: xtdpd vs. xtabond2 discrepancy

["Brian P. Poi" <bpoi@stata.com>]

On Wed, 13 Jan 2010, jreif@uchicago.edu wrote:

> I am having some issues replicating some -xtdpd- results with
> -gmm-.  First, -gmm- generates a puzzling error when I specify
> analytic derivatives and use instruments with a higher lag
> limit.  Second, even when I don't specify the analytic
> derivatives, -gmm- generates different results from -xtdpd-.
>
> Here I repeat David Drukker's example with one change: I
> increase the lag limit for both the level and differenced
> equation by 1.  Stata reports a conformability error and I
> don't understand why:
>
> . webuse abdata, clear
>
> .
> . gmm (n - {rho}*L.n - {c}) (D.n - {rho}*LD.n  ),
> xtinstruments(1: D.n, lags(2/2)) xtinstruments(2:n, lags(3/.))
> instrume
> > nts(2:, noconstant) deriv(1/rho = -1*L.n) deriv(1/c=-1)
> deriv(2/rho = -1*LD.n) winitial(xt LD) onestep vce(unadjusted)
> > variables(L.n ) nocommonesample
>
> Step 1
>                       *:  3200  conformability error
>             gmm_deriv():     -  function returned error
>         criterion_gnr():     -  function returned error
>      opt__calluser1_q():     -  function returned error
>       opt__eval_gn_q1():     -  function returned error
>             opt__eval():     -  function returned error
> opt__looputil_iter0_gn():     -  function returned error
>          opt__loop_gn():     -  function returned error
>              optimize():     -  function returned error
>                 mymin():     -  function returned error
>              _gmm_wrk():     -  function returned error
>                 <istmt>:     -  function returned error
> r(3200);

> .
> . xtdpd n L.n, dgmm(n, lagrange(3 .)) lgmm(n, lag(2))


The comformability error being produced by -gmm- with analytic derivatives 
and the incorrect results produced without them are due to a bug related 
to specifying the minimum lag greater than two for XT-style instruments in 
a differenced equation with one lag of the dependent variable included as 
a regressor.

That bug has been fixed, and the fix will be included in a future adofile 
update.

With the corrected version of -gmm-, it and -xtdpd- produce identical 
results for jrief's example.

   -- Brian Poi
   -- bpoi@stata.com
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