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re: st: Stata 9.2 vs limdep


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   re: st: Stata 9.2 vs limdep
Date   Thu, 26 Mar 2009 15:49:16 -0400

<>
While I have no additional information to provide on the Stata-v- LIMDEP results, I find some useful suggestions in David Roodman's "How to do xtabond2" (Stata Journal 9:1, preprint available from SUG archives) regarding the choice of the GMM-difference vs GMM-system estimator:

6. Before using system GMM, ponder the required assumptions. The validity of the additional instruments in system GMM depends on the assumption that changes in the instrumenting variables are uncorre- lated with the fixed effects. In particular, they require that throughout the study period, individuals sampled are in a kind of steady-state, in the sense that deviations from long-term values, controlling
for covariates, are not systematically related to fixed effects.

(p. 43 of 2006 working paper)

It might be reasonable to ponder whether these conditions are at all reasonable in your context before trying to compute the bounds.

Kit

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html


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