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

From |
"Rodrigo Alfaro A." <[email protected]> |

To |
<[email protected]> |

Subject |
RE: st: xtabond2 - variables in level |

Date |
Tue, 8 Apr 2008 10:02:25 -0400 |

```
Tomasz,
I do not have xtabond2 in this computer, but xtabond should work for
you.
It seems to me that you are not using the level-equation and your
estimation
is first-step AB computation.
Suppose you want to estimate
n(i,t) = b0 + b1*n(i,t-1) + b2*x(i,t-1) + u(i) + e(i,t)
with the Arellano-Bond dataset. The you could type in Stata 9:
webuse abdata, clear
xtabond n, diffvar(L.wage)
You could also add time-dummies, robust std errors, other instruments,
truncate the lags of the dependent variable, etc.
Note that xtabond in Stata 10 has a different syntax.
I hope that (this time) my answer helps you,
Rodrigo.
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Tomasz Boniek
Enviado el: Martes, 08 de Abril de 2008 09:29 a.m.
Para: [email protected]
Asunto: Re: st: xtabond2 - variables in level
Hi Statalisters,
one users already gave me an answer which was not what I was looking for
because I stated my problem in the wrong way. I will try to explain my
problem more carefully.
Suppose I want to estimate a basic Cobb Douglas production function.
Please ignore mispecification of the model or endogeneity issues, since
here I will keep the model oversimplified on purpose. The model I want
to estimate is the following:
y_it = B1*y_i(t-1) + B2*k_it + B3*l_it + B4*w_it + u_i + e_it
where y is log of added value, k and l are logs of capital and labor and
w represents unobservable total factor productivity (TFP) and u_i is the
fixed effect. Now, if I take first differences, I would obtain:
D(y_it)= B1*D(y_i(t-1)) + B2*D(k_it) + B3*D(l_it) + B4*D(w_it) +
D(e_it).
where D(...) means first difference. Being the TFP unobservable, one has
to proxy for it. I will proxy for it by taking a variable called /rents/
lagged one period, which is a firm-level measure of competition.
However, I want to get a coefficient for the level of rents rather than
its first difference. The model I would want to estimate should be
D(y_it)= B_t + B1*D(y_i(t-1)) + B2*D(k_it) + B3*D(l_it) +
B4*rents_i(t-1) + D(e_it).
The reference papers I am using estimated this function using DPD98 for
Gauss. However, I want to find out whether it is possible to estimate
that function using xtabond2. In Stata, I would write
xi: xtabond2 y yL1 k l rentsL1 i.year, gmm(yL1) iv(i.year k l rentsL1)
noleveleq small
where all the variable are in logs, and *L1 means one period lag. If I
am not wrong, if I do so the coefficient I get for rentsL1 will be on
its first difference (i.e. rentsL1 - rentsL2). Is there a way to have
the coefficient for level of rents, keeping all the other variables in
first difference?
I hope someone is able to help me out!
Tomasz Boniek
Tomasz Boniek wrote:
> Hi,
>
> I have a problem with xtabond2. Suppose I run the following:
>
> xtabond2 ln_tfp L.ln_tfp L.rents yr*, gmm(L.ln_tfp L.rents, lag(2 3))
> iv(yr*) robust noleveleq small
>
> where yr* are a series of year dummies and the economic meaning of the
> other variable is irrelevant for my question.
>
> In this case, if I'm not wrong, I will estimate a one-step difference
> GMM. All the variables in this case will be in first difference. My
> question is:
> Is there a way to avoid differentiation of the variable L.rents? I
> would like to use as a regressors (treating it as endogenous) not the
> first difference lagged one period (i.e. rents(t-1)-rents(t-2)) but
> just the lagged level (i.e. rents(t-1)). Is there a way to do that in
> Stata?
>
> Thanks for the help,
>
> Tomasz Boniek
********************************************************************************
ADVERTENCIA: La informaci�n contenida en esta transmisi�n, y en cualquier archivo adjunto, est� sujeta a reserva legal conforme a la normativa aplicable al Banco Central de Chile, y no puede ser usada o difundida por personas distintas de su o sus destinatarios. Si usted ha recibido esta transmisi�n por error, por favor notifique inmediatamente al remitente respondiendo por este mismo medio y elim�nela de su sistema.
El Banco Central de Chile no se har� responsable de la exactitud y veracidad de la informaci�n contenida en este mensaje, as� como de su modificaci�n, copia, divulgaci�n o reenv�o, total o parcial. Su uso no autorizado puede ser sancionado de conformidad con las leyes chilenas.
El Banco Central de Chile transmite sus decisiones a trav�s de comunicados oficiales, los que pone a disposici�n del p�blico en su p�gina de Internet: www.bcentral.cl
DISCLAIMER: The information contained in this email or any attached file, is subject to legal privilege pursuant to the laws and regulations applicable to the Central Bank of Chile , and may not be used or disseminated by any person other than its intended recipients. If you have received this transmission in error, please notify the sender immediately by reply to this email address and delete it from your system.
The Central Bank of Chile shall not be liable for the accuracy or authenticity of the contents of this message, whether amended, copied, forwarded or disclosed in any form, in whole or in part. Please note that unauthorized use may be penalized in conformity with the Chilean law.
The Central Bank of Chile communicates its decisions by official releases, and
makes them available to the public in its WebPages: www.bcentral.cl
*
* 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/
```

**References**:**st: xtabond2 - variables in level***From:*Tomasz Boniek <[email protected]>

**Re: st: xtabond2 - variables in level***From:*Tomasz Boniek <[email protected]>

- Prev by Date:
**Re: st: two-sample vs. two-mean** - Next by Date:
**Re: st: how to test the similarity between two sampledistributions?** - Previous by thread:
**Re: st: xtabond2 - variables in level** - Next by thread:
**st: graph bar** - Index(es):

© Copyright 1996–2024 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |