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Re: st: xtabond2 & Margins


From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: xtabond2 & Margins
Date   Sun, 2 Feb 2014 12:57:43 +0000

<>
On Feb 2, 2014, at 2:33 AM, Stevenwrote:

> I have:  xtabond2 lnenergycap  l(1/2).lnenergycap lngdpcap ,  ///
> gmm(l(1).lnenergycap , laglimits(1 12) collapse ) ///
>  gmm(lngdpcap, laglimits(2 12) collapse) ///
> iv(l(2).lnenergycap) ///
> robust  twostep small  ar(2)-
> 
> If I use -margins, dydx(*) atmeans nose-, the results are just
> spitting me back the coefficients. How do I ensure the results take
> into account the lagged dependent variables on the right hand side?

Well, xtabond2 (SSC) estimates the dynamic panel data (DPD) model, which is a linear regression, so the dydx are
indeed just the estimated coefficients. Were you hoping to compute the long-run or steady-state effects of the regressors?
That you can do with -nlcom-. Here is a simple example using time-series regression:

webuse lutkepohl,clear
reg linvestment L.linvestment lincome
margins, dydx(*)
nlcom _b[lincome] / (1-_b[L.linvestment])

This will compute the long-run multiplier for income (assuming stability conditions are satisfied).

KIt

Kit Baum
Professor of Economics and Social Work, Boston College, Chestnut Hill MA, USA
DIW Research Professor, Department of Macroeconomics, DIW Berlin, Berlin, Germany
[email protected]  |  http://ideas.repec.org/e/pba1.html












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