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Re: st: regarding negative lag coefficient in xtabond regressions


From   Narasimhan Sowmyanarayanan <narasimhan.sowmyanarayanan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: regarding negative lag coefficient in xtabond regressions
Date   Thu, 16 Jun 2011 16:26:58 -0400

On Thu, Jun 16, 2011 at 4:12 PM, Markus Eberhardt
<markus.eberhardt@economics.ox.ac.uk> wrote:
> Narasimhan,
>
> Bond (2002) Journal of Portuguese Economics or
> cemmap working paper  CWP09/02
> http://www.ifs.org.uk/publications/2661
>
> Add to that Blundell and Bond (2000) Econometric Reviews or
> IFS working aper W99/04
> http://www.ifs.org.uk/publications/2722
>
> That should do the trick.
>
>
> Markus Eberhardt
> ESRC Post-doctoral Research Fellow, Centre for the Study of African
> Economies, Department of Economics, University of Oxford
> Stipendiary Lecturer, St Catherine's College, Oxford
>
> web: http://sites.google.com/site/medevecon/home
> email: markus.eberhardt@economics.ox.ac.uk
> twitter: http://twitter.com/sjoh2052
> mail: Centre for the Study of African Economies, Department of
> Economics, Manor Rd, Oxford OX1 3UQ, England
>
>
>
>
> On 16 June 2011 21:05, Narasimhan Sowmyanarayanan
> <narasimhan.sowmyanarayanan@gmail.com> wrote:
>> Hello All:
>>
>> First, I want to acknowledge that this posting may not have anything
>> to do with STATA, probably more to do with a concept. I would
>> appreciate if someone can throw some light on the nature of
>> interpretation if the own lag in using xtabond is significant and
>> negative. I am particularly looking at firm profitability as a
>> dependent variable and the interpretation does not seem like one where
>> there is a growth in profits, rather suggests a decreasing nature of
>> profits over time. or it is simply a reflection of no-growth. Any
>> insight would be appreciated. I find that the correlation between
>> lagged values is positive however.
>>
>> Thanks
>>
>> Narasimhan
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