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Re: st: GMM: first-differencing vs. orthogonal deviations


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GMM: first-differencing vs. orthogonal deviations
Date   Wed, 27 Jun 2012 11:44:55 +0200

On Wed, Jun 27, 2012 at 11:21 AM, Bernadette Durz
<bernadette.durz@gmx.de> wrote:
> 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.

In order for this question to be answerable you need to add complete
references and you need to state exactly (which really really means
exactly) what you typed in Stata that led you to the conclusion that
these two methods do not lead to the same results.

All this is clearly explained in the Statalist FAQ, which you were
asked to read before posting to Statalist. This FAQ does not exist to
trick you, it is there to help you ask answerable question. This is
also in your interest. So please read the FAQ (again). A link can be
found at the bottom of this post (and any other post on the
Statalist).

-- Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------

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