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Re: st: xtabond2 & Margins


From   Steven Archambault <[email protected]>
To   [email protected]
Subject   Re: st: xtabond2 & Margins
Date   Sun, 2 Feb 2014 10:48:37 -0700

Yes, computing the long-run effects is exactly what I wanted to do. Thanks!

Using your example, by hand, we would say

dlinvestment/dlincome=b*lincome/[(1-bLag Operator)*L.linvestment]

So, I am assuming nlcom takes this structure into account?

A more complicated model: reg Y L.Y L2.Y X L.X
(Assuming stability), how would we calculate the long-run effect of X on Y?

nlcom (_b[X]+_b[L.X])/ (1-_b[L.Y]-_b[L2.Y])

Thanks for your input.

On Sun, Feb 2, 2014 at 5:57 AM, Christopher Baum <[email protected]> wrote:
> <>
> 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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