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Re: Re: st: AW: Autocorrelation after xtdpdsys


From   Angela C <aggela.christou@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: AW: Autocorrelation after xtdpdsys
Date   Fri, 1 Feb 2013 20:44:47 +0200

Dear Mr Baum,

thank you for your remarks. The sourses are indeed very useful and
detailed and i also - in my turn- recommend them to other stata users.

I would also recommend Mileva's tutorial on xtabond & xtabond2 (found
it just minutes ago!) available to the follwing link:

http://www.fordham.edu/economics/mcleod/Elitz-UsingArellano%E2%80%93BondGMMEstimators.pdf

Very usefull for less advanced users as myself!

Best Regards!
Angela

2013/2/1 Christopher Baum <kit.baum@bc.edu>:
> <>
> Angela said, re DPD estimation,
>
> It still bothers me though, what if we have autocollelation of second
> or higher order?
>
> Is there a way (a command or routine) to correct it and take new
> autocorrelation-corrected coefficients?
>
> Autocorrelation of second or higher order in the residuals may signal that some of the orthogonality (moment) conditions upon
> which you are relying for consistency of the estimates are not being satisfied. For instance, with AR(1) errors, second lags of an endogenous variable are not valid instruments (while third lags are). If you use second lags, you will probably reject the null
> of the AR(2) test.
>
> An excellent source of detailed information on these topics, even if you're using the official Stata commands, is David Roodman's
> "How to do xtabond2" article in the Stata Journal (2009), which given its age is freely downloadable. This paper and another, on -cmp-,
> recently won the Stata Journal's first Editors' Prize.
>
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>                                                                                                    | http://www.crup.com.cn/Item/111779.aspx
>
>
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