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st: time-invariant regressors in xtdpdsys


From   Hewan Belay <hewan_belay@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: time-invariant regressors in xtdpdsys
Date   Mon, 4 Aug 2008 18:20:53 -0700 (PDT)

Dear List,

I have been trying to learn about the properties of the estimates of time-
invariant regressors obtained when estimating a dynamic panel data model 
with the Blundell-Bond method, using -xtdpdsys- or -xtdpd- , e.g. estimating the model

y_it = a + b*y_it-1 + c*x_it + d*z_i + u_i + e_it

so my question refers to the estimator d-hat. One of the 
big attractions of using Arellano-Bover/Blundell-Bond ( -xtdpdsys- ) 
rather than Arellano-Bond ( -xtabond- ) is that parameters of time-
invariant explanatory variables can be identified ... in addition to the 
other attractions (consistency and greater precision when T is small, n is 
small, and the true value of the parameter b (see above) is large in 
absolute value).

But neither the stata manual's discussions of -xtdpdsys- and -xtdpd-, nor 
for that matter the paper Blundell and Bond (1998), discuss the properties 
of the estimates of time-fixed variables' parameters. The paper only 
explores an AR(1) model, i.e. the RHS contains only the LDV plus the 
errors, and then uses the usual UK data (see -webuse abdata- ) with time-
varying regressors only. The stata manual accordingly only picks up on the 
discussion based on the UK data results. Nor have I seen much discussion 
on this in other articles. 

Any directions, or references, would be much appreciated!
Hewan


      

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