Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

# st: GMM estimation and Helmert procedure

 From Abubakr Saeed To "'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

*
*   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/
```

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index