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 at the end of May, and its replacement, statalist.org is already up and running.


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

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


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Structural Break Type Test with Fixed Effects IV and GMM
Date   Sat, 10 Apr 2010 15:07:03 -0400

Dominic Soon <dominic.soon.etc@gmail.com>
-fe- is not an option for -xtabond-.  Are you thinking you have a
dynamic panel model, or S is endogenous (i.e. you mean -xtivreg-)?  If
the latter, what instruments are you using?  You probably want L and
L*S included as regressors, and you then have 2 endog vars: S and L*S.
 Then you want instruments that differentially affect S in the early
and late periods.

On Fri, Apr 9, 2010 at 11:34 PM, Dominic Soon
<dominic.soon.etc@gmail.com> wrote:
> 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?
>

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index