Hi Nanna,
Arellano/Bond is for panel data and your dataset obviously is not a panel data set.
You have to look for a adequate time series technique. There are lots of possible methods. If you have quarterly or montly data, I would first try to estimate a VAR or a VECM.
Good luck,
John.
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Von: [email protected]
Gesendet: 22.09.07 13:40:01
An: [email protected]
Betreff: st: GMM estimation
Dear Sir/Madam,
I am currently trying to estimate a model containing lagged dependent
variables as explanatory variables along with lagged explanatory variables
(Y = a + BXt-1+BXt-2 + Yt-1+Yt-2+e). It is time-series data (1977-2005) for
one country only and I am wondering if the Arellano-Bond GMM method for
dynamic panel is the correct estimation method.
More specifically, I have a data set for 1977-2005 for one country with the
following variables: dependent variable is investment at time t, explanatory
variables are investment at time t-1 and t-2, FDI inflows at time t, t-1,
and t-2, and growth rate at time t-1, t-2. Since it is a dynamic model OLS
is not appropriate, but is A-B GMM estimation method the most appropriate
method?
It's quite an urgent matter and I really look forward to hearing from you. I
apologize for the inconvenience.
Your help is greatly appreciated!
Nanna Matsson
World Trade Institute
Switzerland
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