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st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?
From
"Hintz, Mark" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?
Date
Tue, 19 Jun 2012 16:38:59 +0000
I think you'll need to take the first difference first, then use the differences in your model. The model uses the first differences to find the moment conditions, but it's fundamentally estimating the undifferenced model, which is nonstationary. I think you want the estimated model to reflect a stationary process, so you'll need to feed the stationary first-differenced series into the Arellano-Bover estimator.
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of sabbas gidarokostas
Sent: Monday, June 18, 2012 5:02 PM
To: statalist
Subject: st: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?
Dear all,
I have a dynamic panel regression with fixed effects and using the xtunitroot iip i found that some variables contain unit root. Is is still valid to use Arellano-Bover estimator?
I think yes because we take the first difference. Am i right?
cheers
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