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From |
Alex Safavi <asafavi@gmail.com> |

To |
statalist <statalist@hsphsun2.harvard.edu> |

Subject |
st: Estimating a dynamic limited dependent variable model (xtabond) |

Date |
Wed, 15 Feb 2012 18:35:28 +0000 |

Dear Statalisters, I have a question relating to a dynamic limited dependent variable model which I wish to estimate. In my study, I'm exploring the determinants of the firm's export decision, and have balanced panel data following 650 firms over a 9-year period. I use Stata SE 10. The equation which I wish to estimate is: Y_i,t = Y_i,t-1 + Y_i,t-2 + Y_i,t-3 + X_i,t + e_i,t where: Y_i,t - is a dummy variable for whether firm i exported in period t or not Y_i,t-1 - is the export status of firm i in period t-1 X_i,t - is a vector representing various plant characteristics, including average wages, capital stocks, industry dummies and location dummies (note: the industry & location dummies are constant across time). To deal with the violation of the "strict exogeneity assumption", I was considering using the Arellano-Bond estimator. I've written the command: xtabond dexp lnw_1 lnw_2 lnk_1 lnk_2 lnage dcorp dtextile dchemical dfood, endogenous(dexp_1 dexp_2 dexp_3 dexp_1dfood dexp_2dfood dexp_3dfood dexp_1dtextile dexp_2dtextile dexp_3dtextile dexp_1dchemical) robust My questions are the following: (1) Is the syntax of the above command correct? (2) Is there anything that I should add to the above command to tell Stata that my dependent variable is binary? (3) I wanted to control for individual firm heterogeneity (given that there are unobservable factors such as product quality that are likely correlated with the explanatory variables). What's the best way of doing this? Should I just include firm dummies? (4) The time-constant variables (dcorp dtextile dchemical dfood) are being dropped. Is there anything that I can do about this? Many thanks for your consideration. Kind regards, Alex Undergraduate student * * 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/

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