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st: System GMM and fixed effects - xtabond2


From   "Zohal Hessami" <Zohal.Hessami@uni-konstanz.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: System GMM and fixed effects - xtabond2
Date   Sun, 28 Feb 2010 21:19:12 +0100

Dear Statalisters,

I have a question regarding System GMM and fixed effects in the context of xtabond2.

Apparently, time constant variables can be included in System GMM in the level equation. Does that mean that the level equation has no fixed effects included? And if so, does this imply that the level equation is not robust to unobserved heterogeneity?

Since my control variables are probably correlated with the fixed effects, should I use Difference GMM instead of System GMM even though it is less efficient? (The results between the two estimation methods differ significantly for my model.)

Thank you very much for your help!

Zohal Hessami
Department of Economics, University of Konstanz
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