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

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

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