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st: GMM: first-differencing vs. orthogonal deviations


From   "Bernadette Durz" <bernadette.durz@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: GMM: first-differencing vs. orthogonal deviations
Date   Wed, 27 Jun 2012 11:21:29 +0200

Hi everybody!

I am using the difference GMM estimator with a balanced panel. I read in different papers (i.e. Arellano/Bond 1995, Roodmann 2009) that transformations with first-differencing and orthogonal deviations should lead to the same results when working with a balanced panel. 

Unfortunately, this is not the case. Does anybody know why the results differ? Which transformation should be preferred? I am using xtabond2 in Stata. 

Thanks a lot for consideration!

Bernadette


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