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

From |
"Rodrigo Alfaro A." <ralfaro@bcentral.cl> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: xtabond2 - variables in level |

Date |
Tue, 8 Apr 2008 10:02:25 -0400 |

Tomasz, I do not have xtabond2 in this computer, but xtabond should work for you. It seems to me that you are not using the level-equation and your estimation is first-step AB computation. Suppose you want to estimate n(i,t) = b0 + b1*n(i,t-1) + b2*x(i,t-1) + u(i) + e(i,t) with the Arellano-Bond dataset. The you could type in Stata 9: webuse abdata, clear xtabond n, diffvar(L.wage) You could also add time-dummies, robust std errors, other instruments, truncate the lags of the dependent variable, etc. Note that xtabond in Stata 10 has a different syntax. I hope that (this time) my answer helps you, Rodrigo. -----Mensaje original----- De: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Tomasz Boniek Enviado el: Martes, 08 de Abril de 2008 09:29 a.m. Para: statalist@hsphsun2.harvard.edu Asunto: Re: st: xtabond2 - variables in level Hi Statalisters, one users already gave me an answer which was not what I was looking for because I stated my problem in the wrong way. I will try to explain my problem more carefully. Suppose I want to estimate a basic Cobb Douglas production function. Please ignore mispecification of the model or endogeneity issues, since here I will keep the model oversimplified on purpose. The model I want to estimate is the following: y_it = B1*y_i(t-1) + B2*k_it + B3*l_it + B4*w_it + u_i + e_it where y is log of added value, k and l are logs of capital and labor and w represents unobservable total factor productivity (TFP) and u_i is the fixed effect. Now, if I take first differences, I would obtain: D(y_it)= B1*D(y_i(t-1)) + B2*D(k_it) + B3*D(l_it) + B4*D(w_it) + D(e_it). where D(...) means first difference. Being the TFP unobservable, one has to proxy for it. I will proxy for it by taking a variable called /rents/ lagged one period, which is a firm-level measure of competition. However, I want to get a coefficient for the level of rents rather than its first difference. The model I would want to estimate should be D(y_it)= B_t + B1*D(y_i(t-1)) + B2*D(k_it) + B3*D(l_it) + B4*rents_i(t-1) + D(e_it). The reference papers I am using estimated this function using DPD98 for Gauss. However, I want to find out whether it is possible to estimate that function using xtabond2. In Stata, I would write xi: xtabond2 y yL1 k l rentsL1 i.year, gmm(yL1) iv(i.year k l rentsL1) noleveleq small where all the variable are in logs, and *L1 means one period lag. If I am not wrong, if I do so the coefficient I get for rentsL1 will be on its first difference (i.e. rentsL1 - rentsL2). Is there a way to have the coefficient for level of rents, keeping all the other variables in first difference? I hope someone is able to help me out! Tomasz Boniek Tomasz Boniek wrote: > Hi, > > I have a problem with xtabond2. Suppose I run the following: > > xtabond2 ln_tfp L.ln_tfp L.rents yr*, gmm(L.ln_tfp L.rents, lag(2 3)) > iv(yr*) robust noleveleq small > > where yr* are a series of year dummies and the economic meaning of the > other variable is irrelevant for my question. > > In this case, if I'm not wrong, I will estimate a one-step difference > GMM. All the variables in this case will be in first difference. My > question is: > Is there a way to avoid differentiation of the variable L.rents? I > would like to use as a regressors (treating it as endogenous) not the > first difference lagged one period (i.e. rents(t-1)-rents(t-2)) but > just the lagged level (i.e. rents(t-1)). Is there a way to do that in > Stata? > > Thanks for the help, > > Tomasz Boniek ******************************************************************************** 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/

**References**:**st: xtabond2 - variables in level***From:*Tomasz Boniek <tboniek@studbocconi.it>

**Re: st: xtabond2 - variables in level***From:*Tomasz Boniek <tboniek@studbocconi.it>

- Prev by Date:
**Re: st: two-sample vs. two-mean** - Next by Date:
**Re: st: how to test the similarity between two sampledistributions?** - Previous by thread:
**Re: st: xtabond2 - variables in level** - Next by thread:
**st: graph bar** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |