Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: re: xtivreg2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: xtivreg2
Date   Tue, 18 Dec 2007 07:04:43 -0500

Viktor said

Is it possible to run dynamic panel model with fixed effects using
-xtivreg2-? Does it provide a consistent estimator?
I am asking this question because I am aware of the problematic with
lagged dependent variable and FE in the standard least squares setting
(Nickell bias of order 1/T). The story becomes even more worse if the
residuals are serially correlated.

No. The Arellano-Bond dynamic panel data approach is the way to go to deal with the Nickell bias (xtabond, xtabond2, or the newer commands available in Stata 10).

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


*
* 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/




© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index