[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"David M. Drukker" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: RE: xtdpd vs. xtabond2 discrepancy |

Date |
Wed, 13 Jan 2010 18:29:11 -0600 (CST) |

Julian <[email protected]> noted that

You need to add an h(2) option to -xtabond2-. The following will produce the same point estimates: webuse abdata, clear xtabond2 n L.n, gmm(n, laglimits(2 .)) small h(2) xtdpd n L.n, dgmm(n, lagrange(2 .)) lgmm(n, lag(1))

The standard errors are still different though.

David Roodman <[email protected]> noted that

I think the remaining discrepency between xtdpd in xtabond2 in the standard errors only occurs if you do one-step, non-robust estimation, which is rare.

David went to verify that -xtabond2- is able replicate a version of DPD in OX that has a known bug, but I do not understand how this resolves anything. I cannot speak to what -xtabond2- does, so I will not say anything about it. Below I illustrate that -xtdpd- produces the same point estimates and standard errors as produced by the -gmm- command in Stata. I conclude that the point estimates and standard errors produced by -xtdpd- are correct, because I can reproduce them using another Stata command that is independent of -xtdpd-. I begin by loading the data and estimating the paramters using -xtdpd-. . webuse abdata, clear

Dynamic panel-data estimation Number of obs = 891 Group variable: id Number of groups = 140 Time variable: year Obs per group: min = 6 avg = 6.364286 max = 8 Number of instruments = 36 Wald chi2(1) = 1724.98 Prob > chi2 = 0.0000 One-step results ------------------------------------------------------------------------------ n | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- n | L1. | 1.170374 .0281795 41.53 0.000 1.115144 1.225605 | _cons | -.228391 .0308445 -7.40 0.000 -.2888452 -.1679369 ------------------------------------------------------------------------------ Instruments for differenced equation GMM-type: L(2/.).n Instruments for level equation GMM-type: LD.n Standard: _cons Now I estimate the parameters using the -gmm- command. . gmm (n - {rho}*L.n - {c}) ///

(D.n - {rho}*LD.n ), /// xtinstruments(1:D.n, lags(1/1)) /// xtinstruments(2:n, lags(2/.)) /// instruments(2: , noconstant) /// deriv(1/rho = -1*L.n) /// deriv(1/c = -1) /// deriv(2/rho = -1*LD.n) /// winitial(xt LD) onestep vce(unadjusted) /// variables(L.n ) /// nocommonesample

Step 1

GMM estimation Number of parameters = 2 Number of moments = 37 Initial weight matrix: XT LD Number of obs = * ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /rho | 1.170374 .0281795 41.53 0.000 1.115144 1.225605 /c | -.228391 .0308445 -7.40 0.000 -.2888452 -.1679369 ------------------------------------------------------------------------------ * Number of observations for equation 1: 891 Number of observations for equation 2: 751 ------------------------------------------------------------------------------ Instruments for equation 1: XT-style: LD.n Standard: _cons Instruments for equation 2: XT-style: L(2/.).n

The syntax for -gmm- is a little involved. This example is a stripped down version of the example on page 612 of the Stata Reference manual [R] A-H. I recommend looking there for details about how the -gmm- syntax works. I conclude that the point estimates and the standard errors produced by -xtdpd- are correct. --David [email protected] * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:

**References**:**st: Re: xtdpd vs. xtabond2 discrepancy***From:*<[email protected]>

**st: RE: xtdpd vs. xtabond2 discrepancy***From:*"David Roodman ([email protected])" <[email protected]>

- Prev by Date:
**Re: st: Re: outreg2 and incorrect asterisks?** - Next by Date:
**st: a question for the multivariate random coefficients model using GLLAMM** - Previous by thread:
**st: RE: xtdpd vs. xtabond2 discrepancy** - Next by thread:
**st: RE: xtdpd vs. xtabond2 discrepancy** - Index(es):

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