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From |
"Jacobs, David" <jacobs.184@sociology.osu.edu> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: long differencing estimator |

Date |
Mon, 3 Oct 2011 16:17:00 +0000 |

Wouldn't seasonal differencing work for this if the data is at yearly frequencies? If I'm right, long differencing can replace the tedious construction of each of the variables with a generate statement. Dave Jacobs -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Millimet, Daniel Sent: Monday, October 03, 2011 8:19 AM To: statalist@hsphsun2.harvard.edu Subject: st: RE: long differencing estimator You can do this "by hand" very simply. Assuming the panel is balanced, 1. tsset the data 2. create the LD for each variable as "gen X=X-L.#X" where # is = T-1 3. estimate the model using ivregress or ivreg2 4. generate the residuals based on parameter estimates 5. re-apply ivregress or ivreg2 with the augmented IV set 6. iterate as much as you want. **************************************************** Daniel L. Millimet, Professor Department of Economics Box 0496 SMU Dallas, TX 75275-0496 phone: 214.768.3269 fax: 214.768.1821 web: http://faculty.smu.edu/millimet **************************************************** -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Islam Abdeljawad Sent: Monday, October 03, 2011 5:01 AM To: statalist@hsphsun2.harvard.edu Subject: st: long differencing estimator Dear statalist I posted a question before two days. Here I will repeat and elaborate: Anyone know how I can do the long differencing estimator suggested by Hahn, Hausman, and Kuersteiner (2007) (see full reference below) 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. The setup for the model Lit − Lit−k = λ(Lit−1 − Lit−k−1) + δ(Xit−1 − Xit−k−1) + εit− εit−k or ΔLit,t−k = λΔLit−1,t−k−1 + δΔXit−1,t−k−1 + u it,t−k. Hahn et al. (2007) suggest that Lit−k−1 is a valid instrument. Using this instrument, we first estimate the equation with two-stage least squares (2SLS) and obtain the initial values of the estimated coefficients λ and δ. Hahn et al. (2007) suggest that the residuals Lit−1 − λLit−2 − δ Xit−2, . . . , and Lit−k − λLit−k−1 − δXit−k−1 are also valid instruments. We then use Lit−k−1 and the residuals as instruments to estimate the equation with 2SLS. We call this the first iteration. We then further iterate this estimation. Hahn et al. (2007) suggest that three iterations are often sufficient. 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. Appreciate your help * * 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/ * * 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/

**References**:**st: long differencing estimator***From:*Islam Abdeljawad <islamabdeljawad@yahoo.com>

**st: RE: long differencing estimator***From:*"Millimet, Daniel" <millimet@mail.smu.edu>

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