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From | Joe Bond <joe.a.bond@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Re: external instruments with xtabond2 |
Date | Sun, 15 Apr 2012 11:51:40 +0100 |
Dear Statalist, I am trying to run some regressions using the xtabond2 command for difference GMM estimation. I have an endogenous explanatory variable in my model for which I have found an external instrument; I also have other endogenous explanatory variables (including the lagged dependent variable) for which I will need to use internal instruments; and finally I have a couple of strictly exogenous explanatory variables.. At the moment I am including all endogenous regressors in the gmm( ) section and all exogenous regressors and the extermal instrument in the iv() section. I was wondering, will this arrangement work as intended? What I don't quite get is how Stata will know to use the external instrument for the specific endogenous variable I intend it to be used for, and also whether I should be putting this variable in the gmm() section when I want it to be instrumented using the external variable rather than its own lags. Would I be better off just using the external instrument on this variable separately beforehand and then running the xtabond2 command afterwards using the predicted values from this regression? Any help would be much appreciated. Joe * * 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/