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st: Instrumental variables in time series using GMM
From
Armand Fouejieu Azangue <[email protected]>
To
[email protected]
Subject
st: Instrumental variables in time series using GMM
Date
Thu, 13 Sep 2012 11:44:33 +0200
Dear all,
In my current work I am facing an issue and I hope that some of you
may help with some guidance.
In time series, I would like to estimate a dynamic equation with GMM
instrumental variables approach (in the spirit of "xtabond" command
with panel data).
The equation form is the following: Yt = aYt-1 + bXt + cZt + ...+ ?t
The explanatory variables are endogenous and I would like to used
their lag values as instruments.
I was wondering if you could guide me to find the best command on
STATA to do this.
Both ?ivreg2? and ?gmm? commands are available, but which one is the
most suitable? Or is there any another command to do this?
Many thanks
Armand
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