Statalist


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

st: GMM or 2SLS with cluster adjustment or others


From   "Yu-Luen Ma" <yma@ilstu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: GMM or 2SLS with cluster adjustment or others
Date   Tue, 13 May 2008 17:47:16 -0500

I have panel data and would like to adjust for potential autocorrelation in the dependent variable as well as the endogeneity in one of the independent variables. Would 2SLS with cluster adjustment (i.e. ivreg with cluster option) be sufficient? I was suggested to use the Arellano-Bond (1991)/Arellano-Bover (1995) estimation procedure. I assume it is GMM. Would that be necessary? How do these two methodologies differ? Thanks.

Yuluen







*
*   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