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Re: st: RE: Difference GMM and System GMM with xtabond2


From   "Leopoldo Avellan" <[email protected]>
To   <[email protected]>
Subject   Re: st: RE: Difference GMM and System GMM with xtabond2
Date   Tue, 11 Jan 2005 11:51:39 -0500

Jean for your answer, it really brings peace to my mind. Though I wonder
why in so many papers, when a similar exercise is performed, they report
for both estimators the same number of observations.

Thanks again,

Leopoldo

>>> [email protected] 01/10/05 3:26 PM >>>
Leopoldo,

When both equations are used, I believe that xtabond2 reports the number
of observations used by the level equation, which is higher than the
number of observations used by the FD equation.

Jean Salvati
 

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Leopoldo Avellan
> Sent: Monday, January 10, 2005 9:39 AM
> To: [email protected]
> Subject: st: Difference GMM and System GMM with xtabond2
> 
> Dear Statalisters:
> 
> I am estimating a dynamic panel using the difference and the 
> system GMM estimators. However, the results tell that there 
> are 50 more observations for the System GMM than for the 
> Difference GMM, why is this happening? I cannot find the 
> mistake that makes the number of observations increase for 
> the system estimator, this should not occur.
> 
> The following is the syntax of my estimation Difference GMM:
> xtabond2 depvar l.depvar l(0/1).( strictlyexogvars endogvars) if
> year>1974, robust gmm(depvar endogvars, lag(2 9)) iv(strictlyexogvars,
> eq(diff) passthru) iv( D.strictlyexogvars, eq(level) 
> passthru) noleveleq
> 
> system GMM:
> xtabond2 depvar l.depvar l(0/1).( strictlyexogvars endogvars) if
> year>1974, robust gmm(depvar endogvars, lag(2 9)) iv(strictlyexogvars,
> eq(diff) passthru) iv( D.strictlyexogvars, eq(level) passthru)
> 
> Notice that the only difference between the two, is that the 
> former has the noleveleq option so that the additional 
> moments for the computation of the system GMM are ignored in 
> order to just compute the difference GMM estimator.
> 
> What is going wrong? Could anybody help me please.
> 
> Thanks,
> 
> Leopoldo
> 
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