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Re: st: RE: Blundell-Bond GMM estimator


From   bsohn@worldbank.org
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Blundell-Bond GMM estimator
Date   Mon, 10 Nov 2003 17:28:34 -0500

Dear Kevin and Statalisters:

I am glad to have a reply to my question. Thank you very much for your swift
answer.
I am actually using the -xtabond- command for my regression exercise. However,
Arellano-Bond GMM estimator is biased in the presence of unit roots and suffers
from the weak instrument problem as the coefficient of lagged dependent variable
gets close to 1, as shown in Blundell and Bond (1998, JOE) where they proposed
an alternative estimator. If there is no STATA version of Blundell-Bond
estimator procedure, I would be interested in getting GAUSS version. Please
anybody has the procedure kindly help me. Many thanks.
_______________________________________________________
Byungdoo Sohn

Sr Economist, Development Economics Vice Presidency(DECVP)
The World Bank, 1818 H St. N.W. Washington, DC, 20433 USA
[MSN] MC4-404   [RmN] MC4-346  [Email] bsohn@worldbank.org
[Phone] 202 473 6784 [Fax] 202 522 1158 [Mobile] 703 589 7456
________________________________________________________


                                                                                                                                           
                      "Amess, Dr K.M."                                                                                                     
                      <kma11@leicester.ac.uk>                                            To:  <Statalist@Hsphsun2.Harvard.Edu>             
                      Sent by:                         cc:                                                                                 
                      owner-statalist@hsphsun2.        Subject:  st: RE: Blundell-Bond GMM estimator                                       
                      harvard.edu                                                                                                          
                                                                                                                                           
                                                                                                                                           
                      2003-11-10 03:45 PM                                                                                                  
                      Please respond to                                                                                                    
                      statalist                                                                                                            
                                                                                                                                           
                                                                                                                                           
                                                                                                                                           
                                                                                                                                           




Use the -xtabond- command in versions 7 or 8. Although I think this is a useful
addition to Stata's capabilities, I personally prefer the GAUSS version of the
programme Arellano wrote because one has greater flexibility over the instrument
set used.

Kevin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu on behalf of bsohn@worldbank.org
Sent: Mon 11/10/2003 3:47 PM
To: Statalist@hsphsun2.harvard.edu
Subject: st: Blundell-Bond GMM estimator

Dear Statalisters:

I think the same question was posted by someone else quite a while ago, but I
couldn't find the answer. I am wondering if there is anybody who has the STATA
do file to compute Blundell-Bond dynamic panel GMM estimator. If so, please let
me know. Thank you in advance for your help.




_______________________________________________________
Byungdoo Sohn

Sr Economist, Development Economics Vice Presidency(DECVP)
The World Bank, 1818 H St. N.W. Washington, DC, 20433 USA
[MSN] MC4-404   [RmN] MC4-346  [Email] bsohn@worldbank.org
[Phone] 202 473 6784 [Fax] 202 522 1158 [Mobile] 703 589 7456
________________________________________________________


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