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:

where x1 is endogenous and x2 exogenous.

Thank you.

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

Thank you.

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