Dear Professor Sebastian,
Thank you so much for your valuable response. How a great supervisor you are! I sincerely appreciate your assistance, Professor! I have the following questions, please!
1) If I have specified ‘model(diff)’ as a separate option in your xtdpdgmm command line, are the following iv() options equivalent or different?
1.1) iv(x, lag( ) diff model(level))
1.2) iv(x, lag( ) diff)
1.3) iv(x, lag( ) model(diff) diff)
1.4) iv(x, lag( ) model(level))
1.5) iv(x, lag( ))
1.6) iv(x, lag( ) model(diff))
1.7) iv(x, lag( ) level)
2) Regarding the meaning of the above iv() options, given I have specified ‘model(diff)’ as a separate option in your xtdpdgmm command line, is the following meaning of iv() options correct?
2.1) iv(x, lag( ) diff model(level)): produces differenced instruments for the level model?
2.2) iv(x, lag( ) diff): produces differenced instruments for the differenced model?
2.3) iv(x, lag( ) model(diff) diff): produces differenced instruments for the differenced model?
2.4) iv(x, lag( ) model(level)): produces level instruments for the level model?
2.5) iv(x, lag( )): produces level instruments for the differenced model?
2.6) iv(x, lag( ) model(diff)): I do not know the meaning of this iv() option, especially since 'model(diff)' has been already specified as a separate option in the command line. I think this iv() option means: produces level instruments for the differenced model? But, I do not think I can include 'model(diff)' twice in the command.
2.7) iv(x, lag( ) level): I do not know the meaning of this iv() option.
3) If I have not specified ‘model(diff)’ as a separate option in the xtdpdgmm command line, will the answers to the above questions (questions 1 and 2) be different? If so, how? Please!
4) If I have specified ‘model(FOD)’ as a separate option in the xtdpdgmm command line, will the answers to the questions above (questions 1 and 2) be different?
Thank you again for your support and effort, Professor! That made a real difference in my understanding.
Thank you so much for your valuable response. How a great supervisor you are! I sincerely appreciate your assistance, Professor! I have the following questions, please!
1) If I have specified ‘model(diff)’ as a separate option in your xtdpdgmm command line, are the following iv() options equivalent or different?
1.1) iv(x, lag( ) diff model(level))
1.2) iv(x, lag( ) diff)
1.3) iv(x, lag( ) model(diff) diff)
1.4) iv(x, lag( ) model(level))
1.5) iv(x, lag( ))
1.6) iv(x, lag( ) model(diff))
1.7) iv(x, lag( ) level)
2) Regarding the meaning of the above iv() options, given I have specified ‘model(diff)’ as a separate option in your xtdpdgmm command line, is the following meaning of iv() options correct?
2.1) iv(x, lag( ) diff model(level)): produces differenced instruments for the level model?
2.2) iv(x, lag( ) diff): produces differenced instruments for the differenced model?
2.3) iv(x, lag( ) model(diff) diff): produces differenced instruments for the differenced model?
2.4) iv(x, lag( ) model(level)): produces level instruments for the level model?
2.5) iv(x, lag( )): produces level instruments for the differenced model?
2.6) iv(x, lag( ) model(diff)): I do not know the meaning of this iv() option, especially since 'model(diff)' has been already specified as a separate option in the command line. I think this iv() option means: produces level instruments for the differenced model? But, I do not think I can include 'model(diff)' twice in the command.
2.7) iv(x, lag( ) level): I do not know the meaning of this iv() option.
3) If I have not specified ‘model(diff)’ as a separate option in the xtdpdgmm command line, will the answers to the above questions (questions 1 and 2) be different? If so, how? Please!
4) If I have specified ‘model(FOD)’ as a separate option in the xtdpdgmm command line, will the answers to the questions above (questions 1 and 2) be different?
Thank you again for your support and effort, Professor! That made a real difference in my understanding.
Comment