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st: inference on coefficients


From   Ben John <bjworld88@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: inference on coefficients
Date   Sat, 3 Nov 2007 20:16:46 +0000

Thank you so much: Kit.

However, I try to use the model from the tool bar, it does not allow
me to choose vce when I use two-step. Would you mind telling me how to
do it in written command?

Thank you again.
Ben




Ben said

I use xtabond two-step, but I got 'Warning: Arellano and Bond
recommend using one-step results for inference on coefficients'. Could
anyone help to explain why it comes like this and how I can solve the
problems please?


It is well known that the regular GMM standard errors in two-step
estimation are biased, so that making inferences from those SEs may be
unreliable. Thus Windmeijer developed the "Windmeijer correction"
which reduces their bias. This is available with official Stata's -
xtabond- if you specify the twostep and vce(robust) options. It is
also available in the user-written -xtabond2-, where it is the default
if twostep estimation is performed. -findit xtabond2- for details.

Kit

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