[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Salvati, Jean" <JSalvati@imf.org> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: Macoreconometric dynamic panels (was: Re: st: panel autocorrelation) |

Date |
Mon, 18 Oct 2004 10:55:19 -0400 |

Edlira, You can use xtabond or xtabond2. The estimators implemented in these two commands are still valid when x_(it-1) is used as a regressor, if that's what you're worried about. By using x_(it-1) as well x_(it) you loose a good instrument for x_(it), but that's only a concern if x_(it) is not exogenous, and it doesn't make the estimator inconsistent anyway. If you're worried about the xtabond estimator's consitency for N=33, T=23, check out the paper by Alvarez and Arellano (2003), "The time-series and cross-section asymptotics of dynamic panel data estimators", Econometrica, July. Consistency of the GMM estimator implemented in xtabond was initially established under the assumptions T fixed, N->infinity, or "small T, large N", which doesn't seem to apply to your sample. But Alvarez and Arellano have also shown this estimator to be consistent for T/N->c with 0<c<=2. Also, keep in mind that, as p increases in your model, you also loose some periods and some instruments. Jean Salvati Econometric Support (202) 623-7804 IS 12-1328 > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Edlira Narazani > Sent: Monday, October 18, 2004 8:18 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: Macoreconometric dynamic panels (was: Re: st: > panel autocorrelation) > > Dear all, > > I have a model like this: > y_it = y_(it-1)a_1 + ... + y_(it-p)a_p + x_(it)b_1 + > x_(it-1)b_2+ w_(it)b_2 + > v_i + e_(it) i={1,...,33}; t={1,...,23_i}, > > I know that xtabond command could be used in case of : > > y_it = y_(it-1)a_1 + ... + y_(it-p)a_p + x_(it)b_1 + > w_(it)b_2 + v_i + e_(it) > i={1,...,N}; t={1,...,T_i}, > > Should I use xtabond command even in my case? Otherwise what > command could be helpful to estimate the parameters? > Thanks > Edlira > > > > ---------------------------------------------------------------- > This message was sent using IMP - Facolta' di Economia - Torino. > > * > * 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: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**Re: st: Re: St: Slow STATA** - Next by Date:
**RE: st: Re: St: Slow STATA** - Previous by thread:
**st: RE: loop within loop** - Next by thread:
**RE: Macoreconometric dynamic panels (was: Re: st: panel autocorrelation)** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |