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From | Christopher Baum <kit.baum@bc.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | re: st: issues with xtabond2 |
Date | Mon, 28 Nov 2011 13:56:04 -0500 |
<> My model originally used fixed-effects estimation but since one of the independent variables is a lagged term of the dependent variable, I believe I'm violating the strict exogeneity assumptions which is why I was trying to use a dynamic panel estimator such as GMM. Is there another possible approach that you can recommend for dynamic panel estimation? The Anderson-Hsiao estimator, which is an IV approach as well, but uses 'true' lags as IVs. A-B DPD is a 'better mousetrap" if T is really small, but in your case it is not. help xtivreg or, from SSC, help xtivreg2 (by Mark Schaffer). Kit 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/