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st: "Persistence" in DV: Which Estimator?


From   "Lim, Daniel" <danielyewmaolim@fas.harvard.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: "Persistence" in DV: Which Estimator?
Date   Mon, 17 Oct 2011 15:29:18 -0400

Dear Statalisters,

I am working on foreign aid and am looking to model "persistence" in aid disbursements across years (loans disburse gradually, so disbursements are likely to be correlated over time). Would any of you be able to advise me as to which estimator is more appropriate for doing so?

1) Fixed Effects with a lagged DV as a control (xtreg)

2) Fixed Effects with AR(1), but without a lagged DV as a control (xtregar)

3) Dynamic panel model (eg xtabond)

4) FGLS with AR(1) structure (xtgls)

5) Fixed Effects with a "Differenced DV", ie DV = aid(t) - aid(t-1)

Thanks!

Daniel
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