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st: GMM: first-differencing vs. orthogonal deviations
From
"Bernadette Durz" <[email protected]>
To
[email protected]
Subject
st: GMM: first-differencing vs. orthogonal deviations
Date
Wed, 27 Jun 2012 11:21:29 +0200
Hi everybody!
I am using the difference GMM estimator with a balanced panel. I read in different papers (i.e. Arellano/Bond 1995, Roodmann 2009) that transformations with first-differencing and orthogonal deviations should lead to the same results when working with a balanced panel.
Unfortunately, this is not the case. Does anybody know why the results differ? Which transformation should be preferred? I am using xtabond2 in Stata.
Thanks a lot for consideration!
Bernadette
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