Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Ayman Farahat <ayman.farahat@yahoo.com> |

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

Subject |
st: Xtabond or dummy variables |

Date |
Mon, 24 Sep 2012 14:55:31 -0700 (PDT) |

Hello; I have synthetic data set generated by (fixed effects) y_{i,t} = a_i + b_1 * y_{i,t-1} + e where e is iid zero mean and unit variance I have a 100 panel members and for each i have 10 observations. I tried to estimate ``b_1" using two methods 1) Using the Arellano bond 2) Using OLS with dummy variables for panel ID. If i understand it correctly, the reason we use the AB instruments is that when we difference , the lagged difference are endogenous and we need to use instruments. However, if i use dummy variables, i can in theory use dummy variables for the individual effects. I did a simulation and the AB approach always give a better estimate of the true value of "b_1" (lower bias). Any explanation /pointers as why that might be the case? Thanks Ayman ________________________________ * * 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**:**Re: st: Fwd: help with xtmixed and margins***From:*James prince <jsprince26@gmail.com>

**RE: st: Fwd: help with xtmixed and margins***From:*"Visintainer, Paul" <Paul.Visintainer@baystatehealth.org>

- Prev by Date:
**st: RE: Residual diagnostics for panel data regression** - Next by Date:
**Re: st: wealth score using principal component analysis (PCA)** - Previous by thread:
**RE: st: Fwd: help with xtmixed and margins** - Next by thread:
**Re: st: Fwd: help with xtmixed and margins** - Index(es):