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Re: st: Stata 9.2 versus Limdep


From   David Airey <david.airey@Vanderbilt.Edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata 9.2 versus Limdep
Date   Thu, 26 Mar 2009 14:35:58 -0500

There are also some other robust options in regress that are possible (hc2, hc3) that are discussed in the manual for regress. Also there is some documentation for Stata vce() that you might report back to the list as to whether the methods of robust or options for vce() described in the manuals even match those in the documentation for Limdep.


On Mar 26, 2009, at 1:23 PM, Nick Cox wrote:

I would like to provide you with further information about my query (see
below for Michael's comments/queries).

1. I have always used Limdep and have only recently switched to Stata as
Stata seems to be the only package able to estimate the Blundell-Bond
(1998) system GMM estimator for a dynamic panel data model.

2. Bond (2002) explains the typical approach in determining whether the first-differenced GMM estimator (Arellano and Bond (1991) or the system GMM estimator is preferable for a particular model and dataset. An AR(1)
regression is run using a pooled OLS regression and a Within Groups
regression. Without going into too much detail, due to the omitted
variable bias, the coefficient on the lagged dependent variable obtained
from the pooled OLS regression tends to be upward biased and serves as
an upper bound. Conversely, Within Groups tends to produce downward
biased estimators. This is the reason why I used REGRESS and estimated a
simple, pooled OLS regression.

3. SKIP is a command used in Limdep to ignore missing values. This is
not done automatically and can create avoc.

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