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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 |
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 >>>> * >>>> * 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/ > * * 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/

**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>

**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>

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