Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: FIXED EFFECTS VS FIRST-DIFFERENCING


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: FIXED EFFECTS VS FIRST-DIFFERENCING
Date   Mon, 30 Jun 2003 18:11:30 +0100

Paul,

Date sent:      	Mon, 30 Jun 2003 14:02:56 +0200
To:             	statalist@hsphsun2.harvard.edu
From:           	Paul Ngobo <Paul.Ngobo@univ-angers.fr>
Subject:        	st: FIXED EFFECTS VS FIRST-DIFFERENCING
Send reply to:  	statalist@hsphsun2.harvard.edu

> Can someone please tell me when to adopt a first differencing estimation 
> and when to adopt a fixed effects estimation? I am estimating a model over 
> 9 years with multiplicative effects of the independent variables. While the 
> IV-FE estimation does not yield many significant coefficients, the IV-FD 
> does. So I wonder if there is a technique (like the HAUSMAN TEST) that 
> could allow me to select one of these estimation methods?
> Many thanks in advance

First-differences, fixed effects, Arellano-Bond, etc., are all 
different ways of estimating the same model.  What makes one 
estimation method more or less appropriate than another is basically 
the disturbance term.  Is it autocorrelated?  Is it correlated with 
any of your regressors?

A good place to start reading about this is the discussion in the 
manual for xtabond, Stata's implementation of the Arellano-Bond 
estimator.

Hope this helps.

--Mark

> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/


Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index