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RE: st: GMM


From   <J.Fischer@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: GMM
Date   Sun, 28 May 2006 23:07:04 +0100

But from a practical point of view, try them and compare the
coefficients and their significance levels. If they all producde similar
results, it won't probably not matter a lot which command you finally
use

Justina 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Janine
Darfield
Sent: 28 May 2006 22:34
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: GMM

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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