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st: xtabond2 and consistency using twostep robust


From   "Jennifer Kohn" <jkohn@drew.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtabond2 and consistency using twostep robust
Date   Sat, 06 Aug 2011 10:51:10 -0400

Dear Statalist --

I am using xtabond2 to estimate a systems GMM dynamic panel data model with both a lagged dependent variable (health) and pre-determined regressors (relationship categories) with a reasonably long panel (18 waves).  I have read Roodman's papers (both "how to" and "too many instruments") many times.  My understanding is that the "twostep" option should only change the efficiency of the standard error estimates, not their consistency.  However, when I run the same specification with and without the twostep (with robust for the Windmeijer correction) I get substantially different point estimates.  In addition, the standard error estimates are not always larger using twostep (again, my understanding is that standard errors are biased down with many instruments so the twostep should bring them up).  Can anyone suggest a reason why I am getting different coefficient estimates using twostep?

Here is my code:
without twostep:
xi: xtabond2 H1 L.H1  Dcohab Ddiv Dnever Dwid male age12 lnhhincome highed norgaf i.wave i.region, artests(4) gmm (L.H1 Dcohab Ddiv Dwid Dnever, lag (3 .)) iv(male lnhhincome age12 norgaf highed i.wave i.region) robust 

with twostep
xi: xtabond2 H1 L.H1  Dcohab Ddiv Dnever Dwid male age12 lnhhincome highed norgaf i.wave i.region, artests(4) gmm (L.H1 Dcohab Ddiv Dwid Dnever, lag (3 .)) iv(male lnhhincome age12 norgaf highed i.wave i.region) twostep robust 

This particular specification has lag (3 .) but I have experimented with many different lags including the collapse option and adding the twostep changes the point estimates in all of these specifications.

Thank you for any assistance!
Jennifer

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