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Re: st: GMM


From   Janine Darfield <janine_darfield@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GMM
Date   Sun, 28 May 2006 22:33:38 +0100 (BST)

Hi,

I posted the following question last week but didn't
get any replies, I am trying again in case anyone can
help. Basically I am trying to do GMM analysis in
STATA and am trying to understand the difference
between
- xtabond/xtabond2; 
- ivreg, gmm / xtivreg, gmm; and
- ivgmm0

Is there any guidance as to under what circumstances
one such method is better than the other? How (if at
all) could one get equivalent results with all 3
methods? I realise this might be a broad question but
even if someone could help with part of it I would
appreciate it a lot.

(I have already read the help files as well as the
paper by Baum Schaffer and Stillman, and Stephen
Bond's paper on Dynamic Panel Data Models; but am
still confused on this point.)

Thanks in advance,
Janine

--- Janine Darfield <janine_darfield@yahoo.co.uk>
wrote:

> Hi,
> 
> I need to do some GMM estimation on panel data
> (which
> has about 700 companies and about 40 quarters). I
> have
> found 3 stata commands for doing GMM:
> xtabond/xtabond2; ivreg, gmm / xtivreg, gmm; and
> ivgmm0 (I hope I am correct that these are all ways
> of
> estimating with GMM). Can anyone tell me what the
> difference between the 3 methods is and which of
> these
> is the "best" to use? And is there a way of getting
> an
> equivalent result in these 3 methods (for example
> what
> would be an equivalent specification, if any?)
> 
> I would be terribly grateful for any guidance as I
> have tried to read the help files and other
> literature
> but am still very confused about this.
> 
> Janine
> 
> 
> 
> 	
> 	
> 		
>
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