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  • #16
    Hallo,

    can and how would I use xtseqreg if one of my independent variable is endogenous and I don't have external instruments. I would like to use past levels and differences to instrument for the independent endogenous variable in a similar way as is possible in xtabond2 but I would also like to include some time-invariant variable (the endogenous variable is time variant)

    The command in xtabond2 would look like:
    Code:
    Code:
       xi: xtabond2 y l.y x1 x2 i.time, gmm(l.y l.x1) iv(x2 i.t, equation(level)) robust
    where x1 is endogenous and x2 exogenous.

    Thank you.

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    • #17
      You can replicate your xtabond2 results with the following xtseqreg syntax:
      Code:
      xi: xtseqreg y l.y x2 x2 i.year, gmm(l.y l.x1, model(difference)) gmm(l.y l.x1, lag(0 0) difference model(level)) iv(x2 i.time, model(level)) vce(robust)

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