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 at the end of May, 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   Humaira Asad <humairaasad@hotmail.com>
To   STATA HELP <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Windmeijer's corrected se in xtivreg2 gmm2s
Date   Mon, 27 Jun 2011 16:39:27 +0000

 



Thank you Kit. Your comments are always a source of adding value and quality to what I am working with.

 

Best wishes,

Humaira 



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