Hello experts,
I would like to know how we can perform a dynamic model y = L.y + x1 + x2 + x3 +i.time +i.id using GMM (xtabond2) and 2SLS (ivreg2).
Is it correct to go xtabond2 like this:
xtabond2 y L.y x1 x2 x3 i.time, gmm(endogenous var) iv(exogenous var)
or
xtabond2 y L.y x1 x2 x3 i.time, gmm(L.y) iv(x1 x2 x3 i.time)
To be honest, I don't know how Stata runs the above model when L.y is endogenous because as I have read from theory, L.y should be instrumented using L2.y but in xtabond2, "x1 x2 x3 i.time" are all put in iv() rather than L2.y. This brings me to the question that, for 2SLS, which variable should we use to regress L.y on?
ivreg2 y x1 x2 x3 i.time (L.y=L2.y) ???
(If it is better to be more specific, you can use the example of Arellano and Bond (1991) model to give explanation.)
Thank you!
I would like to know how we can perform a dynamic model y = L.y + x1 + x2 + x3 +i.time +i.id using GMM (xtabond2) and 2SLS (ivreg2).
Is it correct to go xtabond2 like this:
xtabond2 y L.y x1 x2 x3 i.time, gmm(endogenous var) iv(exogenous var)
or
xtabond2 y L.y x1 x2 x3 i.time, gmm(L.y) iv(x1 x2 x3 i.time)
To be honest, I don't know how Stata runs the above model when L.y is endogenous because as I have read from theory, L.y should be instrumented using L2.y but in xtabond2, "x1 x2 x3 i.time" are all put in iv() rather than L2.y. This brings me to the question that, for 2SLS, which variable should we use to regress L.y on?
ivreg2 y x1 x2 x3 i.time (L.y=L2.y) ???
(If it is better to be more specific, you can use the example of Arellano and Bond (1991) model to give explanation.)
Thank you!
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