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st: AW: System GMM with xtabond2
From
"Dithmer, Jan" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: AW: System GMM with xtabond2
Date
Tue, 4 Mar 2014 09:41:13 +0000
Yes, because you instrument the dependent variable (not the lagged dependent variable) according to your code.
-----Ursprüngliche Nachricht-----
Von: [email protected] [mailto:[email protected]] Im Auftrag von Florian Schwab
Gesendet: Monday, March 03, 2014 6:11 PM
An: statalist
Betreff: st: System GMM with xtabond2
Hello Statalist
for a panel of individuals, I would like to estimate a function explaining the probability of being arrested (y) dependent on
- the lagged dependent variable y(i, t-1), to say: having been arrested the year before
- a vector X(x1(i,t-1), ..., x10(i,t-1)) of the individuals characteristics (first lag), all of which are used as instruments
- a vector Z(z1, ..., z4) of presumably strictly exogenous variables such as overall criminality rate, labor market participation rate etc.
my corresponding Stata command is
xtabond2 y L.y x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 z1 z2 z3 z4, gmm(y x1 x2
x3 x4 x5 x6 x7 x8 x9 x10, lags(1 1) collapse) iv (z1 z2 z3 z4) twostep robust
However, I don't get a significant effect of L.y which is fairly unlikely since all comparable studies find one.
Is there something wrong with the specification of the xtabond2 command ?
Thanks in advance.
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