Statalist


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

RE: st: xtabond with unbalanced panel


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: xtabond with unbalanced panel
Date   Wed, 26 Mar 2008 11:49:47 -0300

Hi,

Some suggestions on the original message:
(1) There is a change in syntax between xtabond in versions 9 and 10. The latter is more close to xtabond2. You must read the new changes if you are using version 10. 
(2) Run a simple model to understand what is behind your data. Something like -xtreg, fe- will help you in terms of parameters and specification (# of lags of the dependent variable, lags of exogenous, and so on). Do not worry to much on the bias of FE+Lag Dependent Variable, you are trying to get some experience on the data, with that you will be able to "deal with" the Sargan complication in the Arellano-Bond framework. 
(3) Having unbalanced data is an empirical complication for these models. Both xtabond and xtabond2 deal with the problem, but the theoretical result is more complex. Empirically, I could say that: (i) the harmonic average of time is much more "accurate" measurement of unbalancedness than simple average, and (ii) the ratio T/N is important, for a "large" T (or harmonic average one) it is good to cut off the number of lags used in xtabond procedure in order to reduce the finite-sample bias of GMM procedure. 
  
I hope this helps you.
Rodrigo.  

-----Mensaje original-----
I think is better to use
xtabond2 command
I have estimated a similar model using xtanbon2 command
Example:
xtabond2 depvar depvar_1  indepvar1 indepvar2, gmm(depvar_1 , lag(2 3))
iv(indepvar1) small

In adition you can include the  noleveleq option

I hope this helps

Inés

> Dear Statalists,
>
> I am trying to estimate a dynamic growth regression with both 
> endogenous and predetermined variables.
>
> gdp(t) = (1+b)gdp(t-1) + X(t-1) + fe + e(t)
>
> Being a beginner in stata I was wondering if you could help me with 
> the following two questions:
>
> 1.) To use difference GMM I use the following command
>
> xtabond gdp, endogenous(x....) pre(lprimary lseconday ltertiary)
>
> where the latter referes to lagged education attainment rates and x 
> for population growth, say.
>
> With this specification I do not seem to pass the Sargan test and was 
> wondering if anyone has a suggestion as to how to reformulate the 
> command to increase my chances of passing the test.
>
> 2) My panel (N=89 T=9) is unbalanced. How does xtabond accounts for 
> that / how do I adjust my estimators to use the entire dataset without 
> having to drop unbalanced observations.
>
> many thanks in advance!
> --
> Der GMX SmartSurfer hilft bis zu 70% Ihrer Onlinekosten zu sparen!
> Ideal für Modem und ISDN: http://www.gmx.net/de/go/smartsurfer
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

********************************************************************************
ADVERTENCIA: La  información  contenida  en  esta  transmisión, y  en  cualquier archivo  adjunto, está  sujeta a reserva legal conforme a la normativa aplicable  al  Banco  Central  de  Chile, y  no  puede  ser usada o difundida  por personas distintas  de  su o sus destinatarios. Si usted ha recibido esta transmisión por error,  por  favor  notifique  inmediatamente al remitente respondiendo por este mismo medio y elimínela de su sistema.
El  Banco Central de Chile no se hará responsable de la exactitud y veracidad de la información contenida en este mensaje, así  como  de su  modificación, copia, divulgación  o  reenvío,  total  o  parcial.   Su  uso  no  autorizado puede ser sancionado de conformidad con las leyes chilenas. 
El  Banco  Central  de  Chile  transmite  sus decisiones a través de comunicados oficiales, los  que  pone  a  disposición  del público en su página de Internet: www.bcentral.cl 

DISCLAIMER: The information  contained  in  this  email or any attached file, is subject to legal  privilege  pursuant  to the laws and regulations applicable to the Central  Bank  of  Chile , and may not be used or disseminated by any person other  than  its  intended recipients. If you have received this transmission in error, please  notify  the sender immediately by reply to this email address and delete it from your system.
The Central Bank  of  Chile shall not be liable for the accuracy or authenticity of the contents of this message, whether amended, copied, forwarded or disclosed in  any  form, in  whole  or  in part.  Please note that unauthorized use may be penalized  in  conformity  with  the  Chilean law.    
The Central  Bank of Chile communicates its decisions by  official releases, and 
makes them available to the public in its WebPages: www.bcentral.cl

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index