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From |
Nola Agha <nolaa@sportmgt.umass.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: xtdpd syntax v. xtabond2 syntax |

Date |
Fri, 27 Feb 2009 14:15:08 -0500 |

Hi Martin and Johannes, What I meant was that it seems Stata developed xtdpd based on the pre- existing xtabond2 written by someone else...so they were developed separately, but I thought they both went to the same end point. From the code I attached before you can see that I used the exact same variables in the equation and in the instruments. Based on Roodman (2006, updated 2008) I included -dgmmiv(rpci06)- instead of -dgmmiv(L.rpci06)- because the variable is predetermined. Please correct me if I am mistaken, but I read [XT] xtdpd to mean that it performs the full system estimation, as does xtabond2. I created a table to compare b, se, and p for both estimations: ---------------------------------------- Variable | xtabond2 xtdpd -------------+-------------------------- L.rpci06 | 1.0082279 .95854292 | .00703641 .01715558 | 0.0000 0.0000 dpop | -10586.382 -9771.2316 | 8322.6778 8789.469 | 0.2034 0.2663 emprate | 931.76409 2463.3689 | 299.83173 490.01287 | 0.0019 0.0000 affilf | 21.256932 64.378555 | 26.493406 28.89868 | 0.4224 0.0259 indf | -.58609293 87.438091 | 37.376563 55.416926 | 0.9875 0.1146 stadnewdum | -57.844387 -65.458247 | 61.194835 56.162188 | 0.3445 0.2438 year2 | 48.506442 | 118.55031 | 0.6824 year3 | -218.09176 -345.9017 | 108.64957 41.142174 | 0.0447 0.0000 year4 | -166.90713 -288.23428 | 101.24846 50.274958 | 0.0993 0.0000 year5 | 60.137151 -76.550558 | 97.009136 41.917769 | 0.5353 0.0678 year6 | -651.36857 -759.32052 | 74.128899 56.315531 | 0.0000 0.0000 year7 | -883.72056 -962.77852 | 63.059393 67.084028 | 0.0000 0.0000 year8 | 153.95923 13.493757 | 79.083477 60.330085 | 0.0516 0.8230 year9 | -593.71338 -680.76975 | 73.279566 56.754457 | 0.0000 0.0000 year10 | -34.730374 -151.11239 | 80.943102 55.31604 | 0.6679 0.0063 year11 | -362.90865 -464.29723 | 81.49597 40.793765 | 0.0000 0.0000 year12 | -13.034162 -119.66874 | 98.41181 54.555359 | 0.8946 0.0283 year13 | 58.446669 1.2973734 | 89.004505 45.862199 | 0.5114 0.9774 year14 | 412.37828 350.77885 | 98.300283 46.139216 | 0.0000 0.0000 year15 | -262.04283 -253.9137 | 97.984314 58.200346 | 0.0075 0.0000 year16 | 106.03241 81.865353 | 101.77577 73.303116 | 0.2975 0.2641 year17 | -672.68695 -608.5532 | 107.01528 81.820516 | 0.0000 0.0000 year18 | -656.81837 -606.05313 | 104.84317 80.886586 | 0.0000 0.0000 year19 | -449.81415 -396.59992 | 115.17053 95.370238 | 0.0001 0.0000 year20 | 66.691583 113.09717 | 95.629426 74.918548 | 0.4856 0.1311 year21 | -369.28923 -271.06565 | 135.80695 111.31033 | 0.0065 0.0149 _cons | -1.0757578 639.66347 | 187.76939 267.14751 | 0.9954 0.0166 ---------------------------------------- legend: b/se/p xtdpd clearly dropped an additional year - perhaps xtdpd is set to default to using 2 lags while xtabond2 uses only 1 by default? - Nola From Johannes Geyer <JGeyer@diw.de> To statalist@hsphsun2.harvard.edu Subject Re: st: AW: xtdpd syntax v. xtabond2 syntax Date Fri, 27 Feb 2009 13:53:26 +0100 Both programs are similar; but they do not share exactly the same syntax. If you want them to do the same, you need to control the instrument matrix and the type of model "difference" vs. "system". If you ask members of the list to help, it is easier if you show us an estimation output. I guess the number of instruments differs between your models. xtabond2 defaults to the system estimator, and you have to specify -noleveleq-, futhermore, you need to include the "l." in your option -gmm()-. ***************************** webuse abdata, clear xtabond2 l(0/2).n l(0/1).(w ys) k, gmm(l.n) iv(l(0/1).(w ys) k) noleveleq xtdpd l(0/2).n l(0/1).(w ys) k, dgmmiv(n) div(l(0/1).(w ys) k) **************************** Johannes owner-statalist@hsphsun2.harvard.edu schrieb am 27/02/2009 09:24:02: > > <> > > Wait a minute: -xtdpd- is an official Stata command, while -xtabond2- comes > from ssc, right? -xtabond2- is acknowledged in the entry [xt]xtdpd, but to > expect both commands to behave similarly would be asking too much... > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nola Agha > Gesendet: Freitag, 27. Februar 2009 02:13 > An: statalist@hsphsun2.harvard.edu > Betreff: st: xtdpd syntax v. xtabond2 syntax > > Hi Statalisters - > I was under the impression that xtdpd was Stata's new version of xtabond2. > If that was true then shouldn't these two statements produce the same > results? > > > xtdpd rpci06 L.rpci06 dpop emprate affilf indf stadnewdum year1-year21, > dgmmiv > (rpci06) iv(dpop emprate affilf indf stadnewdum year1-year21) twostep vce > (robust) > > xtabond2 rpci06 L.rpci06 dpop emprate affilf indf stadnewdum year1-year21, > gmm > (rpci06) iv(dpop emprate affilf indf stadnewdum year1-year21) twostep robust > > Yet, I'm getting very different standard errors and coefficients. Any > thoughts? > > Thanks, > Nola > > > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ __________________________________ Nola Agha Department of Sport Management Isenberg School of Management 121 Presidents Drive, Room 226 University of Massachusetts Amherst, MA 01003 Ph: 413-545-5637 E-Mail: nolaa@sportmgt.umass.edu * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**AW: st: AW: xtdpd syntax v. xtabond2 syntax***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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