[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: inference on coefficients

From   Ben John <>
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 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.


*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index