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


From   Dominic Soon <dominic.soon.etc@gmail.com>
To   statalist@hsphsun2.harvard.edu
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
like:

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?

Thanks
Dominic

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