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RE: st: Xtabond2 versus xtabond


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Xtabond2 versus xtabond
Date   Wed, 18 Aug 2004 13:54:01 -0400

Andrea,

Thanks a lot for your reply. 

Yes, noconst made the xtabond results much closer to the xtabond2
results. I realized after a while that, by default, xtabond includes a
constant in the fd equation, while xtabond2 doesn't. 

However, with my dataset (an unbalanced panel), there is another source
of discrepancy: xtabond and xtabond2 don't handle collinearity in the
instruments the same way. The respective developers are looking at this
issue.

Jean Salvati

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of sistoand80
> Sent: Wednesday, August 18, 2004 9:41 AM
> To: statalist
> Subject: Re:st: Xtabond2 versus xtabond
> 
> Dear Yontcheva Boriana,
> I think results differ because xtabond2 drop constant term. Try
> 
> xtabond y x1...x4 time dummies, lag(1) noconst
> 
> xtabond2 y L.y x1..x4 time dummies,  noleveleq ivstyle(x1-x4 
> time dummies, passthru) gmmstyle(L.y)
> 
> I've successfully replicated xtabond results trough xtabond2 
> but, as I don't have my results saved at University, I'm not 
> sure at 100% about this procedure. If this specification is 
> not the correct one, tomorrow I'll give you a more 
> appropriate suggestion.
> Bye
> 
> Andrea Sisto
> 
> ---------- Initial Header -----------
> 
> From      : owner-statalist@hsphsun2.harvard.edu
> To          : statalist@hsphsun2.harvard.edu
> Cc          : 
> Date      : Fri, 13 Aug 2004 14:31:21 -0400
> Subject : st: Xtabond2 versus xtabond
> 
> > Hi all,
> > I'm new to stata and statlist. I have been trying to 
> replicate results 
> > obtained through using xtabond command with the xtabond2 
> command, by 
> > using the "noleveleq" option. I thought  this option makes xtabond2 
> > give a first difference estimator equivalent to the Arellano Bond 
> > estimator obtained by using the xtabond command.
> > 
> > My model is as follows: y= y(t-1) + x(t)  + time dummies + 
> individual
> > effects+ time varying error term.
> > 
> > Where x(t) are strictly exogenous variables. 
> > 
> > In order to estimate this through Arellano Bond I use the following
> > command: 
> > 
> > xtabond y x1...x4 time dummies, lag(1)
> > 
> > In order to estimate it through xtabond2 I use the 
> following command 
> > with the noleveleq option:
> > 
> > xtabond2 y L.y x1..x4 time dummies,  noleveleq ivstyle(x1-x4 time 
> > dummies, passthru) gmmstyle(L.ed)
> > 
> > Can someone please let me know why these two don't give me the same 
> > results?
> > 
> > Thanks a lot
> > 
> > *
> > *   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/
> > 
> 
> 
> *
> *   For searches and help try:
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> *   http://www.ats.ucla.edu/stat/stata/
> 
> 

*
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