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Re: st: I am new in the list, (doubts on Xtabond)


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: I am new in the list, (doubts on Xtabond)
Date   Wed, 11 Aug 2004 19:55:22 +0100 (BST)

Gabriela Lopez wrote:

> My name is Gabriela Lopez.   I want to calculate total factor
> productivity but in the papers I have read the authors first use the
> General Method of Moments.   They run an xtabond model and take the
> coefficient of the lagged dependent variable and the capital per worker
> to calculate total factor productivity as a residual.  Can anyone tell
> me how to do it exactly or recommend a paper or papers I can read to
> understand it.

Welcome to the list. Try -whelp xtabond- for pointers. Also, try this link
to a paper on Arellano-Bond GMM originally supplied to the list by Padraig
Dixon on July 13:

http://cemmap.ifs.org.uk/docs/cwp0902.pdf

> I have run several xtabond regressions to obtain the coefficients
> mentioned above.   Then I calculate the total factor productivity (but I
> am not sure  I am doing it correctly) to run OLS regressions using
> variables of trade liberalization but I can't get good results.   What
> is my problem?

Can't advise you on that for two reasons: (1) you don't provide any
output; and (2) I'm certainly not a labour economist!

> The Sargan test and the statistics of first and second order
> correlations are described in the xtabond regression in Stata, which
> other test do I have to consider?

Aren't they enough? :)

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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