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st: RE: check results of xtabond2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: check results of xtabond2
Date   Thu, 18 May 2006 11:37:50 +0100

Vivian,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Vivian Sibbaluca
> Sent: Thursday, May 18, 2006 5:48 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: check results of xtabond2 
> 
> I was wondering if anyone has verified the validity of the 
> results of xtabond2. I have simulated a data and performed 
> xtabond and xtabond2. The results of xtabond is very close to 
> my specified vector of parameters in the simulated data. 
> Unfortunately, this is not the case for xtabond2. The 
> resulting parameters were simply far from my specification 
> and also with the results of xtabond. As far as I know, 
> Blundell and Bond estimator is better than the Arellano and 
> BOnd estimator.

It isn't clear what the problem is here.  Are you comparing the xtabond
and xtabond2 results using the *same* estimator, e.g., Arellano-Bond?
Then I agree, the two estimators should agree, and I believe they do.

But maybe you are complaining that xtabond2 using Blundell-Bond doesn't
agree with xtabond using Arellano-Bond?  Then results of the two
estimators will, of course, differ.  If you think Arellano-Bond (using
xtabond) performs better than Blundell-Bond (using xtabond2), then this
is an AB vs. BB issue, not an xtabond vs. xtabon2 issue.

--Mark

> It seems that there is something wrong with 
> xtabond2. I know that this is not part of Stata's functions 
> and that Stata is not liable for it. I hope that somebody 
> could verify the results of xtabond2 especially that there 
> are a lot of Stata users using this procedure. If somebody is 
> interested, I could send my data and the results. 
> 
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