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Re: st: long differencing estimator (Hahn et al. 2007)


From   Islam Abdeljawad <islamabdeljawad@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: long differencing estimator (Hahn et al. 2007)
Date   Sat, 1 Oct 2011 16:42:57 -0700 (PDT)

Thanks Nick, you are absolutely right.
The full reference is 

Hahn, J.; J. Hausman; and G. Kuersteiner. “Long Difference Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects.”
 Journal of Econometrics, 140 (2007), 574–617.
 
Hope this will help




----- Original Message -----
> From: Nick Cox <njcoxstata@gmail.com>
> To: statalist@hsphsun2.harvard.edu
> Cc: 
> Sent: Sunday, October 2, 2011 1:14 AM
> Subject: Re: st: long differencing estimator (Hahn et al. 2007)
> 
> Quotation from http://www.stata.com/support/faqs/res/statalist.html#others
> 
> Precise literature references please! Please do not assume that the
> literature familiar to you is familiar to all members of Statalist. Do
> not refer to publications with just minimal details (e.g., author and
> date). Questions of the form “Has anyone implemented the
> heteroscedasticity under a full moon test of Sue, Grabbit, and Runne
> (1989)?” admittedly divide the world. Anyone who has not heard of the
> said test would not be helped by the full reference to answer the
> question, but they might well appreciate the full reference.
> 
> Nick
> 
> On Sat, Oct 1, 2011 at 5:57 PM, Islam Abdeljawad
> <islamabdeljawad@yahoo.com> wrote:
> 
>>   How I can do the long differencing estimator suggested by Hahn, Hausman, 
> and Kuersteiner (2007) for highly persistent data series using Stata.
>>  The technique uses long differencing instead of first differencing and 
> iterated two-stage least square in estimating persistent dynamic models with 
> short time dimension.
> 
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