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Re: st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?


From   sabbas gidarokostas <sabbasgidarokostas@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?
Date   Wed, 20 Jun 2012 12:49:40 +0200

On 6/20/12, Dithmer, Jan <jdithme@food-econ.uni-kiel.de> wrote:
> Dear Sabbas,
>
> I would send this question directly to the author of the program xtabond2.
>
> Maybe you can ask him to post the answer on statalist, as it may be
> interesting for others as well.
>
> Best, Jan
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von sabbas
> gidarokostas
> Gesendet: Tuesday, June 19, 2012 7:43 PM
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: RE: can Arellano-Bover estimator be used when some
> regressors or the dependent variable contain a unit root?
>
> thank you Mark for your reply.
>
> I looked at the command -xtabond2-, Do you think that -xtabond2 will
> "automatically solve the problem of non stationarity? Because if not, then
> xtabond2 has not other option available  that could cure this problem.
>
> thank you
>
> On 6/19/12, Hintz, Mark <Mark_Hintz@mentor.com> wrote:
>> 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: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] 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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