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RE: st: long-term parameters in dynamic panel data

From   "philippe van kerm" <[email protected]>
To   <[email protected]>
Subject   RE: st: long-term parameters in dynamic panel data
Date   Wed, 6 Jul 2005 12:27:06 +0200


I have no out-of-the-box solution for your specific problem, but a
general solution to handle comibnations of model parameters (and std
errors thereof) is to use -nlcom- (or -predictnl-). It might help here.



Hi everybody!

Does anybody know how to estimate in Stata long-term parameters and
their standard errors in dynamic panel data, using Arellano-Bond
For short run I used "xtabond" and obtained short-run estimates of
exogeneous variables (b)  and estimate of lagged dependent variable (a).
I can calculate the long-term parameter estimates (by hand) using the
formula b/(1-a), but I have no ideea about their respective standard
errors, or if it's an easier way to do it.
Any ideea will be greatly appreciated!

L. Surdeanu

Dr. Philippe Van Kerm
IRISS - Integrated Research Infrastructure in 
  the Socio-Economic Sciences
BP48, L-4501 Differdange, Luxembourg
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