"L. Surdeanu" <[email protected]> wrote:
> Does anybody know how to estimate in Stata long-term parameters and their
> standard errors in dynamic panel data, using Arellano-Bond estimator?
> For short run I used "xtabond" and obtained short-run estimates of exogeneous
> variables (b) and estimate of lagged dependent variable (a).
> I can calculate the long-term parameter estimates (by hand) using the formula
> b/(1-a), but I have no ideea about their respective standard errors, or if
> it's an easier way to do it.
That long run estimator is a continuous function of short run estimators
a and b, as such it is consistent provided that a and b are consistent.
But this is a large sample property.
In small samples it can be severely biased for two reasons mainly:
1) b and a are affected by small sample bias and
2) E(b)/(1-E(a)) != E(b/(1-a)),
This basically implies that in small samples even if you succeeded
in bias-correcting a and b, then there would be still another source of
bias to accommodate, which is due to non-linearity.
A good reference on this is [Pesaran, M.H., Zhao Z., 1999. Bias
reduction in estimating long-run relationships from dynamic
heterogeneous panels. In: Hsiao, C.,Lahiri, K., Lee, L.-F.,
Pesaran, M.H. (Eds.), Analysis of Panel Data and Limited Dependent
Variables. Cambridge University Press,Cambridge.]
Hope this helps
Giovanni
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--
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, Universit� Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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