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Re: st: Xtabond2 / System GMM Query


From   bmilanovic@worldbank.org
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Xtabond2 / System GMM Query
Date   Tue, 23 May 2006 10:25:39 -0400

Development Research, World Bank
Email: bmilanovic@worldbank.org or branko_mi@yahoo.
tel: 202-473-6968
World Bank, Room MC 3-581
1818 H Street NW
Washington D.C. 20433

For "Worlds Apart" see
http://www.pupress.princeton.edu/titles/7946.html

Website:
http://econ.worldbank.org/projects/inequality

For papers see also:
http://econpapers.hhs.se/
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=149002


                                                                                
             "Robert William                                                    
             Scott"                                                             
             <r.scott.3@research                                             To 
             .gla.ac.uk>                 statalist@hsphsun2.harvard.edu         
             Sent by:                                                        cc 
             owner-statalist@hsp                                                
             hsun2.harvard.edu                                          Subject 
                                         st: Xtabond2 / System GMM Query        
                                                                                
             05/19/2006 10:27 AM                                                
                                                                                
                                                                                
              Please respond to                                                 
             statalist@hsphsun2.                                                
                 harvard.edu                                                    
                                                                                
                                                                                




Dear Statalisters,

Having exhausted all available online sources of help, I appeal for the
assistance of Stata users familiar with xtabond2.

When estimating a system GMM for dynamic panel data using xtabond2, it is
unclear/ambiguous whether the parameters of the country dummies/country-specific
fixed effects should be estimated.

Whilst country dummies are removed in the difference regression, they are
included in the level regression.

It is unclear whether their coefficients are calculated (automatically) by Stata
in xtabond2, and if so, how may this data be extracted.

Can anybody offer any assistance?

Looking forward to any response!

Yours faithfully,
Robert
****************************
Robert Scott, B.A., M.Phil
Ph.D. Student
Department of Economics
Adam Smith Building
University of Glasgow
GLASGOW G12 8RT
SCOTLAND
****************************

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