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| From | Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: instrumenting Moving average variable |
| Date | Mon, 4 Jun 2012 11:53:30 -0400 |
Are you trying to estimate a dynamic panel data model? If not, why is l.y endogenous? _______________________ Jorge Eduardo Pérez Pérez On Mon, Jun 4, 2012 at 8:17 AM, Søren Møller-Larsson <soren_ml@hotmail.com> wrote: > Dear statalisters > > I have an dependent variable y, the l.y serves as an explanatory variable and will be instrumented with l2.y. Furthermore I have and a set of exogenous variables x. > I use annual data. > One of the seemingly exogenous variables are used in 3-year Moving averages resulting in overlapping periods. Therefore I reckon it cannot be interpreted as exogenous anymore and I consider instrumenting it with its third lag or alternatively a lagged excluded instrument. > > I want to perform the various first-stage tests of either ivreg2 or xtivreg2 to check the instrument validity. How should the 3-year MA variable be treated in a regression like the one below? > > ivreg2 y x (l.y = l2.y), first ffirst robust gmm2s > > Any help is appreciated. thanks > > Regards Soren > Aarhus university > > * > * 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/ > > * * 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/