Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Structural Break Type Test with Fixed Effects IV and GMM

From   Dominic Soon <>
Subject   st: Structural Break Type Test with Fixed Effects IV and GMM
Date   Sat, 10 Apr 2010 11:34:32 +0800

Dear Statalisters,

I am trying to estimate a regression of two variables output (Y) on
R&D capital stock (S), as well as some other variables (e.g. labour,
capital, so on and so forth).  For simplicity, let's say the model is:

Y_it = a_i + beta * S_it + error term

I am trying to see whether the coefficient beta is different between
an (assumed) "early" and "late" period.  I'm also attempting to run
the regression using both fixed effects and GMM.

The question is - are there any issues with this methodology,
particularly when running a GMM estimation.  Suppose I ran something

xtabond Y S S_late, fe

where S_late is equal to L times S, with L being a dummy variable that
is equal to 1 if t is later than my (assumed) breakpoint, can the
t-statistics be interpreted sensibly?


*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index