st: Re: GMM or 2SLS with cluster adjustment or others

[Kit Baum <baum@bc.edu>]

The Arellano-Bond / Arellano-Bover / Blundell-Bond methodology  
(xtabond, xtabond2) is appropriate if you have lagged dependent  
variables, and unnecessary otherwise.

If you have a panel with endogenous regressors, use xtivreg2 with  
cluster-robust SEs, preferably with the gmm2s option.

See Baum-Schaffer-Stillman, Stata Journal 7:4 2007, for details.  
Preprint available from my homepage below as a BC working paper.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On May 14, 2008, at 02:33 , statalist-digest wrote:


> 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.
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