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From |
Dominic Soon <dominic.soon.etc@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Structural Break Type Test with Fixed Effects IV and GMM |

Date |
Sat, 10 Apr 2010 11:34:32 +0800 |

Dear Statalisters, I am trying to estimate a regression of two variables output (Y) on R&D capital stock (S), as well as some other variables (e.g. labour, capital, so on and so forth). For simplicity, let's say the model is: Y_it = a_i + beta * S_it + error term I am trying to see whether the coefficient beta is different between an (assumed) "early" and "late" period. I'm also attempting to run the regression using both fixed effects and GMM. The question is - are there any issues with this methodology, particularly when running a GMM estimation. Suppose I ran something like: xtabond Y S S_late, fe where S_late is equal to L times S, with L being a dummy variable that is equal to 1 if t is later than my (assumed) breakpoint, can the t-statistics be interpreted sensibly? Thanks Dominic * * 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**:**Re: st: Structural Break Type Test with Fixed Effects IV and GMM***From:*Austin Nichols <austinnichols@gmail.com>

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