Statalist


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

Re: st: RE: xtdpd vs. xtabond2 discrepancy


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)

There has been some discussion about a difference in the standard errors reported by -xtdpd- and -xtabond2-.

The discussion began with question about how to get the point estimates to match.

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))

Julian continued that
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

. . xtdpd n L.n, dgmm(n, lagrange(2 .)) lgmm(n, lag(1))

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
Iteration 0: GMM criterion Q(b) = .10163841 Iteration 1: GMM criterion Q(b) = .00035315 Iteration 2: GMM criterion Q(b) = .00035315

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 two commands produce the same point estimates and the same standard errors.

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/



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