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st: Changes in the significance of endogenous variables after fixed effect and system GMM


From   Yee Kyoung Kim <icejean@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Changes in the significance of endogenous variables after fixed effect and system GMM
Date   Sun, 26 Apr 2009 12:07:53 +0900

Dear subscribers,

I would deeply appreciate if anybody can help me out.
I have cross-country panel data with 5-year average.
The significance of the key variable that I am interested in changes
depending on the estimation methods.

1) OLS : significant.
2) Fixed effect: insignificant.
3) system GMM: significant.

It could be the result of the endogeneity bias but the AR(2) test and
Hansen test (between 0.2-0.8 (p-value)) lies within the reasonable
range.
In addition, the lagged dependent variable also lies between the
coeffieicent of OLS and that of fixed effect.

Can I expect any of endogenous independent variable to have downward
bias as in the case of lagged dependent variables?
Or, do I have to have the consistent significant fixed-effect
coefficient? (Well, in cross-sectional analysis, in order to validate
the instrument variables, such problem should not arise as far as I
know)

My estimation can be backed up or is completely wrong? Could you
recommend any reference for this?

Thank you very much in advance

Best regards,

Yee Kyoung


-- 
Yee Kyoung Kim
Department of Economics
PhD candidate, Seoul National University, Seoul, Korea
(Phone) 016-595-6148
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