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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: GMM or 2SLS with cluster adjustment or others
Date   Wed, 14 May 2008 10:17:18 -0400

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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