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Re: st: Dynamic fixed effects in Stata


From   "V. Sarafidis" <vs242@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Dynamic fixed effects in Stata
Date   21 Apr 2005 14:31:41 +0100

This is a good idea. But is it going to be equivalent? The GMM-type procedures transform the data in first-differences while the fixed effects use the within transformation.

Vasilis

On Apr 21 2005, Mark Schaffer wrote:


The official Stata command xtabond might do what you want.

Or go straight to David Roodman's xtabond2, which is more flexible. From within Stata, type

findit xtabond2

and take it from there.

HTH.

--Mark

From: "V. Sarafidis" <vs242@cam.ac.uk>
To: statalist@hsphsun2.harvard.edu
Subject: st: Dynamic fixed effects in Stata
Date sent: 21 Apr 2005 13:40:09 +0100
Send reply to: statalist@hsphsun2.harvard.edu

> Hello,
> > I've got a question that might have already been answered a lot of > times in the list but I am pretty new here.
> > Is there any obvious way to run fixed effects with dynamics in Stata > (8)?
> > For example the following model:
> > Y(i,t)=a(i) + b*X(i,t) + d*(Xi,t-1)+u(i,t)
> > where X is strictly exogenous
> > Thank you in advance for your help
> > Vasilis
> *
> * 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/

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

*
* 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/

--
If I could get my membership fee back, I'd resign from the human race.
Fred Allen (1894 - 1956)



*
*   For searches and help try:
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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