Unfortunately not, Gianmarco.
I already referred to Baltagi, Arellano, Verbeek, Greene etc. and most of
the cited GMM-related studies (Anderson, Hsiao, Arellano /Bond,
Blundell/Bond, Keane/Runkle), however with no answer to my problem.
Any other ideas?
-----Urspr�ngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Leon, Gianmarco
Gesendet: Donnerstag, 5. Januar 2006 16:33
An: [email protected]
Betreff: st: RE: xtabond2: gmm in levels only meaningful?
Baltagi's "Econometrics of panel data" has good examples for GMM, they are
also provided in stata. Hope that helps..
Gianmarco
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Niko Wrede
Sent: Thursday, January 05, 2006 10:32 AM
To: [email protected]
Subject: st: xtabond2: gmm in levels only meaningful?
Dear all,
the System-GMM estimator exploits moment conditions for equation in
differences AND for equation in levels.
However, using xtabond2
..., gmm(depvar, lag(2 .) equ(BOTH)) ...
I do not get plausibel results (in almost all cases the Hansen J Test
indicates overidentifying restrictions).
But when using xtabond2
..., gmm(d.depvar, lag(2 .) equ(LEVEL)) ...
[WITHOUT an additional gmm(depvar, lag(2 .) equ(diff) command] the results
are economically plausibel and the Hansen J Test is ok.
My understanding of GMM is, that one has to use the equation in differences
to get rid of the individual effects. In addition, one can exploit the
equation in levels and use differences of the depvar as instruments for
those.
But I have not seen GMM estimators, that use ONLY the equation in levels.
However, maybe anybody knows of such cases and is able to give some
references. I would greatly appreciate any help since I already spent a lot
of time searching for valuable information on this topic.
Niko
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