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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   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
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>

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