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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   Fri, 29 Jun 2012 15:46:55 +0200

Thank you Jan for your reply. Your help is important.

Cheers





On 6/29/12, Dithmer, Jan <jdithme@food-econ.uni-kiel.de> wrote:
> 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
>>>> *
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>>
>
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