Statalist The Stata Listserver   st: Re: number of lags  From  
Kit Baum <> To   "alessia matano" <> Subject   st: Re: number of
lags Date   Mon, 28 May 2007 06:49:51 -0400  The logic here is
the same as underlying Arellano-Bond. If the errors are AR(1),
then they are correlated with y_t-1, and if the model is
correct, they are correlated with x_t-1, so that the minimum lag
is 2. Calculating a robust (or cluster-robust) covariance matrix
does not change how the coefficients are calculated: if the
instruments are not orthogonal to the error, the IV estimates
will not be consistent. But if 2-period lags are appropriate, so
are 3-period lags, 4-period lags, etc. so there is no reason why
the equation should be exactly identified: you can use several
lags of the x variables.  Kit Baum, Boston College Economics and
DIW Berlin An Introduction to Modern Econometrics Using Stata:
On May 28, 2007, at 5:39 AM, alessia matano wrote:  Dear Kit,  I
am estimating an IV using lagged values of my independent
variables as in