Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Windmeijer's corrected se in xtivreg2 gmm2s
Date   Mon, 27 Jun 2011 10:16:21 -0400

<>
On Jun 27, 2011, at 2:33 AM, Humairat wrote:

> 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.



If it is a static model, you don't need DPD methods, and the Windmeijer correction is irrelevant. It pertains to the second-stage VCE of DPD estimates, not to GMM estimates of a static model. The cluster-robust VCE should be consistent, and with 45 firms you have a reasonable number of clusters per the Angrist-Pischke-Adams rule of thumb of 42.

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




*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index