Hi,
I am a quite newbie to dynamic panels. For my project, I want to run a simple model on government approval rates on a dataset consisting of quarterly approval data for 20 countries around 30 years (some countries have less data). Because the approval rate for any given quarter is also dependent on the approval rate in the previous period, I use the following model:
xtabond2 approval l.approval noparties inflation growth coalition c.wars##c.right, gmm(approval inflation growth, lag(1 2) collapse eq(diff)) iv(since2 noparties coalition wars right, eq(diff)) robust
noparties refers to the number of parties, coalition to coalition government, wars, if there is a military conflict going on, and right is the ideological orientation of the government. Inflation and growth are yearly macroeconomic indicators.
So I have two questions:
1- Is the way I use xtabond2 correct?
2- If I change lag(1 2) to something like lag(1 1) or (lag 0 3), the coefficients of almost all the variables change quite dramatically. Why is this the case? Then how can I choose the proper values for lag intervals?
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