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RE:st: Part II: An error in the xtabond-description


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   RE:st: Part II: An error in the xtabond-description
Date   Mon, 23 Aug 2004 23:19:02 +0200

David

I agree that S1 uses 1-step residuals. The problem is about S2 (last formula at 
page 32 in the xt manual), which is based on A2 that necessarily uses 1-step 
residuals. This is not the 2-step Sargan in Arellano and Bond (1991) paper, 
formula (10) p. 282 that employs 2-step residuals.  

Giovanni

 
> While it is possible to define a Sargan statistic that uses the one-step
> moment conditions and the two-step weighting matrix, this is not the
> one-step Sargan test suggested by Arellano and Bond (1991).  The one-step
> Sargan statistic reported by -xtabond- is the s_1 statistic suggested by
> Arellano and Bond (1991) page 282, it uses the one-step residuals.
> 
> 
>   --David
>     ddrukker@stata.com
> 
> References
> 
> Arellano, M. and Bond, S. (1991) "Some tests of specification for panel
> data:
> Monte Carlo evidence and an application to Employment Equations", The Review
> of Economic Studies, 58(2) 277-297.
> *
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> 


-- 
Giovanni Bruno
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
*
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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