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Re: st: Date: Sun, 26 Jun 2011 13:22:00 +0000


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Date: Sun, 26 Jun 2011 13:22:00 +0000
Date   Sun, 26 Jun 2011 23:56:18 +0500

help file for xtbond2 contains information on your issue. Quoting
lines from there will help you a bit "As linear GMM estimators, the
Arellano-Bond and Blundell-Bond estimators have one- and two-step
variants.  Although two-step estimation is asymptotically more
efficient, the reported two-step standard errors tend to be severely
downward biased (Arellano and Bond 1991; Blundell and Bond 1998).  To
compensate, xtabond2 makes available a finite-sample correction to the
two-step covariance matrix derived by Windmeijer (2005).  This can
make twostep robust more efficient than onestep robust, especially for
system GMM."

Reading in more detail might be helpfull.


Anees
"

On Sun, Jun 26, 2011 at 11:28 PM, Humaira Asad <humairaasad@hotmail.com> wrote:
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> Thank you Anees! I have read this paper in detail. It does not say anything about Windmeijer's correction in twostep GMM.
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> Humaira Asad
> PhD Research Scholar
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> ----------------------------------------
>> Date: Sun, 26 Jun 2011 19:10:41 +0500
>> Subject: Re: st: Date: Sun, 26 Jun 2011 13:22:00 +0000
>> From: anees@aneconomist.com
>> To: statalist@hsphsun2.harvard.edu
>>
>> Check http://fmwww.bc.edu/ec-p/wp667.pdf if it might be of any help.
>>
>> On Sun, Jun 26, 2011 at 6:22 PM, Humaira Asad <humairaasad@hotmail.com> wrote:
>> >
>> >
>> >
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>> >
>> > Hi,
>> >
>> >
>> >
>> > I have searched the statalist archive thoroughly and xtivreg2 help files, but still there are two important things that are not clear.
>> >
>> > 1. Does xtivreg2 gmm2s cluster(id) corrects for Windmeijer's correction?
>> >
>> > 2. How can I calcluate Arellano-Bond AR(1) and (2) after using xtivreg2, gmm2s, cluster(id)
>> >
>> >
>> >
>> >
>> > Humaira Asad
>> > PhD Student
>> > *
>> > * 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/
>> >
>>
>>
>>
>> --
>> Muhammad Anees
>> MSc & MS in Economics
>>
>> *
>> * 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/
> *
> *   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/
>



-- 
Muhammad Anees
MSc & MS in Economics

*
*   For searches and help try:
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