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From |
"Dithmer, Jan" <jdithme@food-econ.uni-kiel.de> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

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

Date |
Fri, 29 Jun 2012 15:40:08 +0200 |

As nobody seems to have any idea on this topic, I'll try my best to help you. First of all, I am not aware of any program accounting for non-stationarity in a dynamic panel model. However, xtabond2 is mainly for the "small T, large N" case. In this case spurious regression caused by non-stationarity should be no problem. If T is large and N small, then you may run into problems with spurious regression. If T is large and N too, the problem should vanish as well. However, as is noted in the paper by Roodman, non-stationarity of variables may lead to a weak-instrument problem with respect to the Arellano-Bond estimator and the Blundell-Bond estimator may have bad small sample properties. Thus, if you have a small T, large N panel, you may not have to worry much. If not, an alternative may be to estimate a panel VAR model. However, I don't know if it is available in Stata... Hope, this somehow helps a bit. Would be nice if someone could join the discussion. Best, Jan -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von sabbas gidarokostas Gesendet: Thursday, June 28, 2012 7:50 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? 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/ * * 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**:**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>

**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>

*From:*sabbas gidarokostas <sabbasgidarokostas@googlemail.com>

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