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Re: st: xtabond2 nolevel vs ivreg2 gmm


From   [email protected]
To   [email protected]
Subject   Re: st: xtabond2 nolevel vs ivreg2 gmm
Date   Fri, 20 Apr 2007 21:47:11 +0200

Thank you Kit for your answer, I appreciated your help. 
Thanks again
Mariarosaria
Citazione Kit Baum <[email protected]>:

> Mariarosaria said
> 
> I estimated a dynamic equation:
> yt= a +b*y(t-1)+c*xt+et
>   using xtabond2  (with the nolevel option) and ivreg2 (with the gmm  
> option). I
> have used the same number of IVs for the endogenous variables (x is a  
> vector
> of endogenous and exogenous variables).
> I am aware that the first command implies the adoption of an  
> Arellano- Bond
> (difference GMM) estimator, while the other the use of a two-step  
> feasible GMM
> estimator. However, I don't understand why I get an estimation sample  
> rather
> different for the two commands: the ivreg2 sample is half that of the  
> xtabond2
> (4108 vs 8467 obs).
> 
> First of all the equivalent model to Arellano-Bond difference GMM  
> would be D.y on LD.y and D.x if you did it "by hand" in ivreg2. If  
> you used xtivreg2, fd, it would do the differencing for you.
> 
> ivreg2 (and any straightforward iv technique, such as xtivreg2, fd)  
> will drop one observation on every panel for each lag mentioned in  
> the model or instrument specification. So if your instruments  
> included, e.g., L2D.y, L3D.y, L4D.y, you would lose five observations  
> per panel (one for the difference and four for the lags). The cunning  
> strategy of the Arellano-Bond estimator (see Roodman's "How to do  
> xtabond2" in RePEc, http://ideas.repec.org) avoids the loss of these  
> additional observations for the instrumenting (or rather loses only  
> one for the lags used in instrumenting; System GMM does not even lose  
> that). So it is perfectly understandable that a traditional IV  
> estimator (such as Anderson-Hsiao implemented by xtivreg2, fd) will  
> work with a much smaller sample than will Arellano-Bond or Blundell- 
> Bond.
> 
> Kit
> 
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
> 
> 
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