STATA 如何作Anderson-Hsiao estimator, 即一阶差分工具变量法(2SLS/IV),根据Anderson-Hsiao (1986)的意思,是用Y的滞后二期(l2.y)去替代Y的滞后一阶(dl.y),好像没有一个特别的命令来作Anderson-Hsiao estimator.
ivreg d.y d.(x1 x2 x3 ) (dl.y = ll.y),r
xtabond2 y l.y x1 x2 x 3 ,gmm(l.y, lag(1 1)) r two nol
xtivreg y x1 x2 x3 (l.y=ll.y),fd
ivreg d.y d.(x1 x2 x3 ) (dl.y = dll.y)
请问上述四种方程,哪一个是作Anderson-Hsiao estimator,谢谢!