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


From   Humaira Asad <humairaasad@hotmail.com>
To   STATA HELP <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Windmeijer's corrected se in xtivreg2 gmm2s
Date   Sun, 26 Jun 2011 22:50:40 +0000




Thank you Kit for your useful input. The model I am estimating using xtivreg2 gmm2s cluster(id) is a static model and not dynamic. In the subsample N is 45, average T is 4.1 and the total number of observations are 185.





Humaira Asad
PhD Research Scholar
UoE Business School
University of Exeter, England












----------------------------------------
> From: kit.baum@bc.edu
> To: statalist@hsphsun2.harvard.edu
> Date: Sun, 26 Jun 2011 16:28:35 -0400
> Subject: Re: st: Windmeijer's corrected se in xtivreg2 gmm2s
>
> <>
> 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 | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
>
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