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st: Windmeijer's corrected se in xtivreg2 gmm2s


From   Humaira Asad <humairaasad@hotmail.com>
To   STATA HELP <statalist@hsphsun2.harvard.edu>
Subject   st: Windmeijer's corrected se in xtivreg2 gmm2s
Date   Sun, 26 Jun 2011 19:48:17 +0000





Thank you Anees for your help. I have read all the relevant literature in detail. I have used xtabond2 for my dataset, now I want to analyse the subsample for something. The problem is the number of observations is 156 in the sub sample and I cant apply xtabond2 because of small sample size. I have applied xtivreg2 and now I want to correct the estimates for small sample size bias (Windmiejer's correction).

 

I am interested in knowing how can I apply the Windmeijer's correction on xtiverg2 gmm2s cluster(id).

 

Looking for some help!!




Humaira Asad
PhD Research Scholar

UoE Business School

University of Exeter, England












----------------------------------------
> Date: Sun, 26 Jun 2011 23:56:18 +0500
> Subject: Re: st: Date: Sun, 26 Jun 2011 13:22:00 +0000
> From: anees@aneconomist.com
> To: statalist@hsphsun2.harvard.edu
>
> 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:
> >
> >
> >
> >
> >
> > Thank you Anees! I have read this paper in detail. It does not say anything about Windmeijer's correction in twostep GMM.
> >
> >
> >
> >
> > Humaira Asad
> > PhD Research Scholar
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > ----------------------------------------
> >> 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:
> >> >
> >> >
> >> >
> >> >
> >> >
> >> > 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:
> * 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:
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


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