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

From   Christopher Baum <>
To   "" <>
Subject   Re: st: Windmeijer's corrected se in xtivreg2 gmm2s
Date   Sun, 26 Jun 2011 16:28:35 -0400

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).

The Windmeijer correction is for Arellano-Bond and Blundell-Bond "DPD" models. xtivreg2 by Mark Schaffer does not estimate those DPD models. It would not be appropriate to apply xtivreg2 with fixed effects to a dynamic panel model. The fact that xtivreg2 (and the underlying ivreg2 of Baum-Schaffer-Stillman) has a GMM option does not mean that it can consistently estimate dynamic panel models.

When you say you have only 156 obs. in the subsample, what is N and what is the average T?

Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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