Is there a citation that suggests Arellano-Bond is not the best option (e.g. not efficient, etc.) when running a model without a LDV? Thanks.
Yuluen
________________________________
From: owner-statalist@hsphsun2.harvard.edu on behalf of Kit Baum
Sent: Wed 5/14/2008 6:11 PM
To: Rodrigo Alfaro A.
Cc: statalist@hsphsun2.harvard.edu
Subject: st: Re: GMM or 2SLS with cluster adjustment or others
Rodrigo,
The point I was trying to make is that the fixed effects estimator
(e.g. xtivreg, fe) is biased in the presence of a LDV, and so
Arellano-Bond should be used in that context. There is nothing to
prevent you from using Arellano-Bond in an equation without a LDV,
but given the complexity of the A-B methodology (and possibility to
generate hundreds of instruments) I would not recommend using it
routinely on a static panel data model. In that context it is
certainly appropriate to use IV-GMM, as is provided by xtivreg2, fe
with the gmm2s option. That is also a GMM estimator which will be
more efficient than standard IV.
Best wishes
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
On May 14, 2008, at 18:39 , Rodrigo Alfaro A. wrote:
>
> Kit wrote:
> The Arellano-Bond / Arellano-Bover / Blundell-Bond methodology
> (xtabond,
> xtabond2) is appropriate if you have lagged dependent variables, and
> unnecessary otherwise.
>
> I am not agree with this statement. Equation (13) in the classic paper
> Blundell, Bond, Devereux, and Schiantarelli (1992) "Investment and
> Tobin's Q: Evidence from company panel data" Journal of
> Econometrics 51
> (1992) 233-257 does not have a lagged dependent variable, but it is
> also
> estimated by GMM.
>
> Rodrigo.
>
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