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st: Diffrerence Equation


From   John Ebireri <j.ebireri.1@research.gla.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Diffrerence Equation
Date   Wed, 26 Oct 2011 16:32:22 +0100

System-GMM estimation comprises a level equation together with a difference equation. The output produced by Stata shows the results of the estimation of the level equation. This is fine when the researcher wants to run a regression of, say, the level of per capita income. However, if the objective is to estimate the growth of per capita income (i.e., a difference in logs), then presumably one would want to see the results of the difference equation instead of those of the level equation. What is the command to tell Stata to show the difference equation in System-GMM estimation?

            In asking this question, I am assuming that if I write simply the standard commands for system-GMM estimation, but use the growth of per capita income as the dependent variable, the results would be wrong because Stata would create a difference equation which would have growth acceleration as the dependent variable. In other words, rather than estimating a system comprising a regression of the level of income and a regression of income growth, Stata would be estimating a system with a regression of income growth and a regression of income acceleration. Is my understanding correct?

Regards

John.
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