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re: st: xtabond2 year dummies
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
re: st: xtabond2 year dummies
Date
Fri, 1 Apr 2011 10:37:11 -0400
<>
In a dynamic model (I am using xtabond2) is it necessary to add the year dummies,...
You should add them as IV-style (rather than GMM-style) instruments. Then the number of instruments will rise, but only by the number of years - 1.
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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