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Re: st: xtabond with constraints
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: xtabond with constraints
Date
Mon, 8 Aug 2011 17:51:26 +0100
If the coefficient in x[t-1] must be identically -1 then you can add
that variable to the response variable before you fit a model in terms
of other predictors.
That is
y = <some stuff> -x[t-1] ...
is equivalent to
y + x[t-1] = <some stuff>
so model y_2 = y + x[t-1]
Nick
On Mon, Aug 8, 2011 at 4:37 PM, Pedro Ferreira
<[email protected]> wrote:
> Dear All,
>
> I am running a model of x(t+1) on x(t) and x(t-1) plus other controls.
> I need to restrict the coefficient on x(t-1) to be -1. Any suggestions
> for how to do this? My understanding is that xtabond2 does not allow
> for constraints. I can add x(t+1) with x(t-1) and make this my new
> dependent variable and instrument x(t) gmm style with deep lags of x,
> namely deeper than 4. Is this the best strategy? Another approach I
> have considered is to use 3SLS, first equation is just x(t+1) on x(t)
> and x(t-1) and I use the other equations to run regressions of x(t)
> and x(t-1) on deep lags. Using reg3 allows me to force the coefficient
> on x(t-1) to be equal to -1 in the first equation. Unfortunately, reg3
> does not give me the AR tests for how good the lags are as
> instruments. Any ideas, thoughts would be highly appreciated. Thanks,
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