Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


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

st: xtabond2 interpretation of the constant in system GMM?


From   Evan Markel <markelev@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 interpretation of the constant in system GMM?
Date   Thu, 25 Apr 2013 16:06:27 -0700

Dear listservers,

I'm confused about the interpretation of the intercept term when
estimating system GMM. I understand the constant gets differenced out
in Difference GMM so there is no reason to suppress the constant using
the xtabond2 option "noconstant". However what is the constant in
System GMM? What is the advantage to suppress the constant in System
GMM?

Is it similar to the constant when estimating fixed effects, the
average of the fixed effects?

Thank you in advance,

Evan
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index