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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 |
Thu, 28 Jun 2012 19:49:58 +0200 |

I was wondering if anyone in the Stata community has any answer to my question thanks On 6/20/12, sabbas gidarokostas <sabbasgidarokostas@googlemail.com> wrote: > 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 >>> * >>> * 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/ >>> >>> * >>> * 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/ >>> >> * >> * 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/ >> >> * >> * 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/ >> > * * 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/

**Follow-Ups**:**AW: st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?***From:*"Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>

**References**:**st: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?***From:*sabbas gidarokostas <sabbasgidarokostas@googlemail.com>

**st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?***From:*"Hintz, Mark" <Mark_Hintz@mentor.com>

**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>

**AW: st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?***From:*"Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>

**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>

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