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st: GMM Estimation for Panel Data


From   Bersant Hobdari <bh.cees@cbs.dk>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: GMM Estimation for Panel Data
Date   Fri, 18 Oct 2002 08:36:50 +0200

Hello to all List Members,

I am trying to test the existence of returns to scale accross firms with
different ownership structures. As the existence of simultaneity bias
(due to correlation of inputs and the error term) makes OLS results
inconsistent, I am using the within, first-differenced and IV-GMM 
to account for this problem. 

Here however I run into a problem. The IV-GMM procedures for Stata
(ivgmm0 and ivreg2, respectively) are written not for panel data.
Xtabond takes account for the panel nature of the data but it considers
only dynamic models, that is not the case with the models I am
esatimating. My questin is whether the former two procedures can be
modified to take into account the panel nature of the data?

Any suggestion would be highly appreciated. 
Sincerely,
Bersant
-- 
Bersant Hobdari
Center for East European Studies
Institute of International Economics and Management
Copenhagen Business School
Howitzvej 60, 2000 Frederiksberg, Denmark
Phone: office:  (45) 38153052
Phone: mobile: (45) 26140295
Fax:                (45) 3815 2500     
MAILTO:       bh.cees@cbs.dk
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