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RE: st: GMM diff vs sys


From   Giovanni Bruno <[email protected]>
To   [email protected]
Subject   RE: st: GMM diff vs sys
Date   Thu, 9 Feb 2006 12:48:56 +0100

The finite-sample bias approximations used by xtlsdvc
requires an estimate of the regression variance. So
the estimator is implemented into two steps:
1) get the variance estimate from residuals obtained
from some *initial* estimator
2) work out bias approximations and correct LSDV

An help file is available with xtlsdvc (-help xtlsdvc-), 
but you might also want to have a look at my 
Stata Journal paper (and the references therein): 

"Estimation and inference in dynamic unbalanced panel-data 
models with a small number of individuals," 
Stata Journal, StataCorp LP, vol. 5(4), pages 473-50

 
Giovanni

[email protected]:

> The error is this
> 
> xtlsdvc lnrgdpl lnrgdpli lnts lnngd
> option initial() required
> r(198);
> 
> but i don`t know what is an initial option
> I need a regression of a convergence model
> like this
> lnYit= a + b lnYit-1 + d Xit + ni + vt +uit
> where
> Yit is per capita gdp
> and Xit are population growth and interest rate
> 
> Thanks
> 
> 
> where: 	  - level of per capita income for i�th country  in t�th 
period.,
> Xi,t �  matrix of the variables, which represent the steady state for i�th
> economy (in logarithms),
>   -   individual effect of i�th country,
>  -    time specific effect of t�th year,
>  -   independent stochastic error term.
> 
> 
> where: 	  - level of per capita income for i�th country  in t�th 
period.,
> Xi,t �  matrix of the variables, which represent the steady state for i�th
> economy (in logarithms),
>   -   individual effect of i�th country,
>  -    time specific effect of t�th year,
>  -   independent stochastic error term.
> 
> 
> > -xtlsdvc- requires an -initial()- option.
> >
> > Otherwise, to quote the FAQ:
> >
> > "Say exactly what you typed and exactly what Stata typed
> > (or did) in response. N.B. exactly! If you can, reproduce
> > the error with one of Stata's provided datasets or a simple
> > concocted dataset that you include in your posting."
> >
> > Nick
> > [email protected]
> >
> > [email protected]
> >
> >> I`ve tried this
> >>
> >> xtlsdvc depvar varlist
> >>
> >> But It hasn`t funtioned Could you tell me what it`s wrong?
> >>
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> 
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 


-- 
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, Universit� Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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