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Re: st: Windmeijer's corrected se in xtivreg2 gmm2s


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Windmeijer's corrected se in xtivreg2 gmm2s
Date   Mon, 27 Jun 2011 01:04:12 +0500

I am not sure about sample bias issue in xtabond2 but Windmeijer has
proposed a small sample correction which is incorporated in -xtabond2
as http://www.stata.com/statalist/archive/2011-03/msg00368.html
suggest.

So I guess it is the only stata resource available at hand, Other
proficient in the area might suggest how to implement.


Sorry I have just put you on the track many times.

Anees

On Mon, Jun 27, 2011 at 12:48 AM, Humaira Asad <humairaasad@hotmail.com> wrote:
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> 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).
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> I am interested in knowing how can I apply the Windmeijer's correction on xtiverg2 gmm2s cluster(id).
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> Looking for some help!!
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> Humaira Asad
> PhD Research Scholar
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> UoE Business School
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> University of Exeter, England
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> ----------------------------------------
>> 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:
>> >
>> >
>> >
>> >
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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:
>> >> >
>> >> >
>> >> >
>> >> >
>> >> >
>> >> > 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:
> *   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
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