Bersant. You can run ivreg2, gmm on data that has been first-differenced or
mean-differenced (for fixed effects) to correctly produce iv-gmm results for
panel data. As the standard errors in these models are based on large
sample properties you do not need to correct the standard errors for the
reduction in degrees of freedom resulting from differencing the data,
although there is some debate out there to whether a correction should still
be done. An extension to ivreg2 (I am a co-author) to handle all panel data
models is currently in the planning stages but I am not sure how soon it
will be available.
Steve
> -----Original Message-----
> From: Bersant Hobdari [SMTP:[email protected]]
> Sent: Friday, October 18, 2002 7:37 PM
> To: statalist
> Subject: st: GMM Estimation for Panel Data
>
> Hello to all List Members,
>
> I am trying to test the existence of returns to scale accross firms with
> different ownership structures. As the existence of simultaneity bias
> (due to correlation of inputs and the error term) makes OLS results
> inconsistent, I am using the within, first-differenced and IV-GMM
> to account for this problem.
>
> Here however I run into a problem. The IV-GMM procedures for Stata
> (ivgmm0 and ivreg2, respectively) are written not for panel data.
> Xtabond takes account for the panel nature of the data but it considers
> only dynamic models, that is not the case with the models I am
> esatimating. My questin is whether the former two procedures can be
> modified to take into account the panel nature of the data?
>
> Any suggestion would be highly appreciated.
> Sincerely,
> Bersant
> --
> Bersant Hobdari
> Center for East European Studies
> Institute of International Economics and Management
> Copenhagen Business School
> Howitzvej 60, 2000 Frederiksberg, Denmark
> Phone: office: (45) 38153052
> Phone: mobile: (45) 26140295
> Fax: (45) 3815 2500
> MAILTO: [email protected]
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