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AW: st: AW: xtdpd syntax v. xtabond2 syntax


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: AW: xtdpd syntax v. xtabond2 syntax
Date   Fri, 27 Feb 2009 22:09:00 +0100

<> 


Take a look at
http://www.cgdev.org/files/11619_file_HowtoDoxtabond8_with_foreword.pdf and
note, for instance, page 42 at the bottom where the author of -ssc d
xtabond2- dwells on the differences between his package and -xtdpd-...



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 20:15
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: AW: xtdpd syntax v. xtabond2 syntax

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
>
>
>
>
>
>
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__________________________________
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




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