Re: st: xtabond2 - How deep can the instrument go?

[San K <devank@gmail.com>]

Does using 16th lag as instrument mean that I'm ended up with only 6
times steps?



On Wed, May 9, 2012 at 3:19 AM, urbain thierry YOGO <yogout@gmail.com> wrote:
> the point is that a rule of thumb in this matter is that the number of
> instruments should not exceed the number of id (house).
>
> 2012/5/8, San K <devank@gmail.com>:
>> Dear all,
>> My panel consists of 9000 houses X 22 quarterly metered consumption.
>> Unfortunately I have lot of persistence in the data.
>>
>> After basing around different estimators I decided to settle with xtabond2.
>>
>> Here is my simplified semi-log model.
>> xtabond2 y L4.y price L4.price L4.price L4.price L4.price WeatherVar
>> SeasonalDummies, noleveleq
>>  gmmstyle(y, laglimits(16 16) equation(diff))
>>  ivstyle(PriceVariables, p)
>>  ivstyle((WeatherVariables, equation(diff))
>>  ivstyle(SeasonalDummies,  equation(diff))
>>  twostep ar(5) robust
>>
>> I started my instrument from Lag5 but none of them passed the Hansen
>> test or Arellano-Bond test for AR().
>>
>> My burning question is... is it okay to use the 16th lag as instrument
>> given I have only 22 time steps?
>>
>> Regards,
>> devank
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>
>
> --
> *Urbain Thierry YOGO
> P.h.D candidate in Economics*
> *
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