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


From   "Yu-Luen Ma" <yma@ilstu.edu>
To   <statalist@hsphsun2.harvard.edu>, "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
Subject   st: RE: Re: GMM or 2SLS with cluster adjustment or others
Date   Wed, 14 May 2008 21:30:43 -0500

Is there a citation that suggests Arellano-Bond is not the best option (e.g. not efficient, etc.) when running a model without a LDV? Thanks.
 
Yuluen
 
 
________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of Kit Baum
Sent: Wed 5/14/2008 6:11 PM
To: Rodrigo Alfaro A.
Cc: statalist@hsphsun2.harvard.edu
Subject: st: Re: GMM or 2SLS with cluster adjustment or others



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.
>
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