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RE: st: GMM


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: GMM
Date   Mon, 29 May 2006 00:03:21 +0100

Janine,

> -----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.

Your question is a combination of big, important questions and little,
not-so-important ones.

An example of the latter is the difference between ivreg2, gmm (not
ivreg as you say) and ivgmm0.  As I recall, at one point the latter
iterates once more to get an updated set of residuals, but the
difference is inconsequential; both report 2-step feasible efficient GMM
estimates.

The big questions are too big to answer in a posting to Statalist, but
maybe I can rephrase some of them:

- Does the estimator use the first-differences transformation?
(xtabond/2, or xtivreg/2 with the fd option)

- Does the estimator use the within-transformation?  (xtivreg/2 with the
fe option)

- Does the estimator not transform the data at all?  (ivreg/2 or ivgmm0)

- Does the estimator use clever and hard-to-describe orthogonality
conditions?  (xtabond/2)

Hope this helps.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
 


> (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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