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st: Arellano and Bond with many zeros


From   agostino@unical.it
To   statalist@hsphsun2.harvard.edu
Subject   st: Arellano and Bond with many zeros
Date   Fri, 4 Apr 2008 13:09:01 +0200

dear all,
we are estimating an Arellano and Bond (AB) model, in which the dependent 
variable is a ratio that is zero for a substantial part of the sample (about 
30%). Before implementing the AB we have tested for selection bias and we have 
rejected such an hypothesis. On the basis of this evidence, may we present the 
AB estimates obtained for the full sample or do you reckon is more appropriate 
to eliminate the zeros before estimating?
thank you very much for your suggestions
Maria


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