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RE: Re: st: Problematic Result with two-step System GMM.


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: Re: st: Problematic Result with two-step System GMM.
Date   Tue, 18 Dec 2007 10:22:28 -0000

Grant,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Grant Peter Kabango
> Sent: Tuesday, December 18, 2007 10:09 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: Re: st: Problematic Result with two-step System GMM.
> 
> Thank you statalist,
> 
> Yes I am using xtabond2 with the following command line: 
> xtabond2 CR L.CR L(0/1).(MCY NE G) yr*, gmm(L3.(L.CR L2.MCY 
> L.NE)) ivstyle(L(0/2).G yr*) two robust. Unfortunately, I 
> have not come accross any literature that explains on how I 
> can use either the lag() or collapse options.

To repeat what Nicola said, David Roodman's working paper, cited in the
xtabond2 help file, provides a thorough and user-friendly discussion of
xtabond2 and its options, including lag and collapse.

--Mark

> 
> Grant.
> -----Original Message-----
> From: nicola.baldini2@unibo.it
> To: statalist@hsphsun2.harvard.edu
> Date: Fri, 14 Dec 2007 18:59:51 +0100
> Subject: Re: st: Problematic Result with two-step System GMM.
> 
> You may find a reply if you provide exactly the command-line 
> you used and the output from which you guessed that you have 
> too many instruments. From your e-mail, I guess you are using 
> -xtabond2- and you need to work with lag() option to reduce 
> the number of instruments, or collapse option. Read carefully 
> the help file and author's working paper referenced in there.
> 
> Nicola
> 
> At 02.33 11/12/2007 -0500, Grant Peter Kabango wrote:
> >I am using two-step System GMM for my estimation, with a 
> panel which has 20 industries observed over 35 years 
> (i.e.T=35 and N=20). However, the results show that I have 
> too many instruments. I have been trying to collapse the data 
> but I do not know how to go about it. Pleasehelp.
> >
> >Further, my estimated coefficients carry opposite signs in 
> levels and in the first lag, for each variable. Is this 
> normal or there is something I could be doing wrongly.
> >
> >Please Help
> >
> >Grant Kabango
> 
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