You may want to at least see the work by blundell and bond, I believe in
Econometric Reviews, around 2000-2002. they show that the arellano-bond
estimator is biased when the coefficient on the lagged dependent var.
gets even reasonably close to 1 (anything above about 0.7). They
propose an alternative estimator that is available in gauss. I'm not
sure what happens to that revised estimator if in fact there is a unit
root. I imagine it fails.
Dann
----------------------------------------------------------------
Daniel L. Millimet, Assistant Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
e-mail: [email protected]
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
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> -----Original Message-----
> From: Dev Vencappa [mailto:[email protected]]
> Sent: Friday, October 10, 2003 7:53 AM
> To: [email protected]
> Subject: Re: st: dynamic panel estimation in the presence of
> unit roots
>
>
> Statalist, is there anybody who knows of relevant literature
> on what are the consequences of estimating dynamic panels
> when the variables have unit roots and what are the
> consequences for that? (and any possible implementation in Stata)
>
> Any suggestions please?
>
> Dev
>
>
> Dev Vencappa
> School of Economics
> University of Nottingham
> University Park
> Nottingham
> NG7 2RD
> U.K.
> Tel : +44 (0)115 951 5608
> Fax: +44 (0) 115 951 4159
>
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>
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