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st: GMM estimation and Helmert procedure


From   Abubakr Saeed <Abubakr.Saeed@brunel.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: GMM estimation and Helmert procedure
Date   Sat, 25 Feb 2012 13:47:09 +0000

Dear Statalist users,

I have an unbalanced panel dataset and intend to running investment equation with GMM. I have two questions regarding this:

First, there are few studies that have used forward-mean differencing procedure, also referred to as the Helmert's procedure, to removed the fixed effects. But my question is when we are estimating GMM in first-differences do we still need to transform our variables through forward-mean differencing procedure (because fixed firm-specific effects are already removed by estimating GMM in first-differences)?  If I have to use the forward-mean differencing procedure then how can I do it? I tried to find the Helmert procedure but couldn't get it.

My second question is bit related to syntax of GMM-FD. 

xtabond2 depvar l.depvar l.indepvar1 l.indepvar2 l.indepvar3 if country==xxx, gmm (l.depvar l.indepvar1 l.indepvar2 l.indepvar3, lag (2 2)) iv(l2.indepvar1) nolevel small

I am assuming my all variables are endogenous, having 9 years time period. Now since I don't have any additional IV variables that I can treat sickly exogenous, so is it possible to not provide any IV,..... if not then how can I use same endogenous variables here as exogenous as well. I addition, somebody suggested me to use l2.indepvar1 as IV but I have already instructed Stata to use only the second lag of the endogenous variables. I am really blocked here, and any suggestion would be helpful.

Thanks so much for your insights.

Regards,

Abubakr Saeed
PhD student

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