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

[Kit Baum <baum@bc.edu>]

Rodrigo,

The point I was trying to make is that the fixed effects estimator  
(e.g. xtivreg, fe) is biased in the presence of a LDV, and so  
Arellano-Bond should be used in that context. There is nothing to  
prevent you from using Arellano-Bond in an equation without a LDV,  
but given the complexity of the A-B methodology (and possibility to  
generate hundreds of instruments) I would not recommend using it  
routinely on a static panel data model. In that context it is  
certainly appropriate to use IV-GMM, as is provided by xtivreg2, fe  
with the gmm2s option. That is also a GMM estimator which will be  
more efficient than standard IV.

Best wishes
Kit

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 18:39 , Rodrigo Alfaro A. wrote:


> Kit wrote:
> The Arellano-Bond / Arellano-Bover / Blundell-Bond methodology  
> (xtabond,
> xtabond2) is appropriate if you have lagged dependent variables, and
> unnecessary otherwise.
>
> I am not agree with this statement. Equation (13) in the classic paper
> Blundell, Bond, Devereux, and Schiantarelli (1992) "Investment and
> Tobin's Q: Evidence from company panel data" Journal of  
> Econometrics 51
> (1992) 233-257 does not have a lagged dependent variable, but it is  
> also
> estimated by GMM.
>
> Rodrigo.
>
> ********************************************************************** 
> **********
> 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/