Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | sabbas gidarokostas <sabbasgidarokostas@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: RE: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root? |
| Date | Wed, 20 Jun 2012 12:49:40 +0200 |
On 6/20/12, Dithmer, Jan <jdithme@food-econ.uni-kiel.de> wrote: > Dear Sabbas, > > I would send this question directly to the author of the program xtabond2. > > Maybe you can ask him to post the answer on statalist, as it may be > interesting for others as well. > > Best, Jan > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von sabbas > gidarokostas > Gesendet: Tuesday, June 19, 2012 7:43 PM > An: statalist@hsphsun2.harvard.edu > Betreff: Re: st: RE: can Arellano-Bover estimator be used when some > regressors or the dependent variable contain a unit root? > > thank you Mark for your reply. > > I looked at the command -xtabond2-, Do you think that -xtabond2 will > "automatically solve the problem of non stationarity? Because if not, then > xtabond2 has not other option available that could cure this problem. > > thank you > > On 6/19/12, Hintz, Mark <Mark_Hintz@mentor.com> wrote: >> I think you'll need to take the first difference first, then use the >> differences in your model. The model uses the first differences to >> find the moment conditions, but it's fundamentally estimating the >> undifferenced model, which is nonstationary. I think you want the >> estimated model to reflect a stationary process, so you'll need to >> feed the stationary first-differenced series into the Arellano-Bover >> estimator. >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of sabbas >> gidarokostas >> Sent: Monday, June 18, 2012 5:02 PM >> To: statalist >> Subject: st: can Arellano-Bover estimator be used when some regressors >> or the dependent variable contain a unit root? >> >> Dear all, >> >> I have a dynamic panel regression with fixed effects and using the >> xtunitroot iip i found that some variables contain unit root. Is is >> still valid to use Arellano-Bover estimator? >> I think yes because we take the first difference. Am i right? >> >> cheers >> * >> * 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/ >> >> * >> * 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/ >> > * > * 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/ > > * > * 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/ > * * 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/