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Re: st: AW: Second-differencing in -xtabond2-


From   Giorgia Maffini <giorgia.maffini@sbs.ox.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Second-differencing in -xtabond2-
Date   Sun, 02 Aug 2009 10:54:48 +0100

Dear Martin,

thank you for your kind replay.

It seems that the only option available is to use -ivreg2,gmm2s-. The problem
with this is that I am not sure -ivreg2,gmm2s- calculates GMM-style instruments
(i.e. substitute zeros for missing observations) as instead done by xtabond2.
Also, I am not sure it adjusts the results for the Windmeijer' correction.  

Best,

Giorgia

In message <000d01ca108e$99febf10$cdfc3d30$@weiss1@gmx.de>
statalist@hsphsun2.harvard.edu writes:
> 
> <>
> 
> You may want to look at
> http://www.stata-journal.com/article.html?article=st0159
> 
> 
> HTH
> Martin
> 
> 
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Giorgia Maffini
> Gesendet: Mittwoch, 29. Juli 2009 08:15
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: Second-differencing in -xtabond2-
> 
> Dear Statalist Members, 
> 
> I wonder if anybody could kindly help me out with the following problem. 
> 
> I am using a difference-GMM estimator (Arellano and Bond (1991), Review of
> Economic Studies - AB) employing -xtabond2-. Instead of first-differencing,
> I
> would like to second-difference the equation and instrument some of its
> endogenous covariates with suitable lags of their own levels. 
> 
> In other words, the dependent variable in the newly differenced equation
> would
> need to be D2.y = y_(it)-y_(it-2) [instead of D.y = y_(it)-y_(it-1), as in
> the
> standard AB framework]. The endogenous covariate would be D2.x =
> x_(it)-x_(it-2)
> [instead of D.x = x_(it)-x_(it-1), as in the standard AB framework]. I would
> instrument D2.x with the levels x_(it-3), x_(it-4), etc. and other suitable
> instruments (e.g. z_it). 
> 
> The following command does NOT seem to produce the requested procedure: 
> 
> xi: xtabond2 D2.y L.D2.y D2.x , /*
> */ gmm( y  x , lag(3 4) collapse ) iv( z , passthru ) /*
> noleveleq two robust 
> 
> Does anybody know how to implement the aforementioned estimation using
> -xtabond2- ? 
> 
> The version of Stata that I am using is the following:
> 
> Stata/MP 10.1 for Windows 64-bit x86-64
> Born 02 Feb 2009
> 
> Thank you for your consideration.
> 
> Regards,
> 
> Giorgia 
> 
> - 
> Giorgia Maffini - Research Fellow
> Oxford University Centre for Business Taxation - Said Business School
> Park End Street, Oxford OX1 1HP
> Tel: 01865 614847
> 
> *
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> 
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-- 
Giorgia Maffini - Research Fellow
Oxford University Centre for Business Taxation - Said Business School
Park End Street, Oxford OX1 1HP
Tel: 01865 614847


*
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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