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Re: st: instrumenting Moving average variable
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: instrumenting Moving average variable
Date
Mon, 4 Jun 2012 14:04:59 -0400
Sorry, it is still not clear to me whether you have panel data or not.
_______________________
Jorge Eduardo Pérez Pérez
On Mon, Jun 4, 2012 at 12:18 PM, Søren Møller-Larsson
<[email protected]> wrote:
> Dear Jorge
>
> Thank you for replying. Yes I am estimating a dynamic model. Sorry for not mentioning the whole story. I am estimating with system GMM and I want to test whether my instruments are weak with the first stage statistics of -ivreg2-. In the system GMM setting I am considering treating the 3-year MA variable as predetermined and instrumenting it with lags 3 and longer, but I am not completely sure if this is the way to go about it either.
>
> However, my main question is still how the MA variable should be treated in the -ivreg2- setting.
>
> Regards Soren
>
> ----------------------------------------
>> From: [email protected]
>> Date: Mon, 4 Jun 2012 11:53:30 -0400
>> Subject: Re: st: instrumenting Moving average variable
>> To: [email protected]
>>
>> 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
>> <[email protected]> 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
>> >
>> > *
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>> >
>> >
>>
>>
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>
> *
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>
>
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