I run a xtdpdsys (system GMM estimation). However, the number of instruments is abnormally high. xtdpdsys is an officially command of stata. Roodman (2006) offered an user-written version for a system GMM estimation (xtabond2). The xtabond2 command has a "collapse" option, in which you can limit instrument proliferation. Since I keep using the xtdpdsys command, my question is, is there an additionally option within the command xtdpdsys to limit the number of instruments? The handbook does not deal with such an option. But is there an add-on, which can be downloaded from stata?
Thanks in advance,
Last edited by ma9545; 10-09-2012 at 06:43 AM.
Advertise on Talk Stats