Many thanks to both Steve Stillman and Mark Schaffer for the comments on
the use of GMM techniques for panle data.
Sincerely,
Bersant
Mark Schaffer wrote:
>
> A quick follow-up to Steve's email. The choice of whether to first-difference or mean-difference
> depends on whether you think the fixed/random effects are endogenous, and whether the transformed
> data are serially correlated or not.
>
> If the effects are exogenous, then ivreg2,gmm on mean-deviation data is what you want; if the
> effects are endogenous, then you eliminate them by first-differencing and then using ivreg2,gmm.
>
> If, after whatever transformation you've settled on, the error term of the resulting data series is
> not serially correlated, you're fine. If it is serially correlated, then you should use ivreg2,gmm
> with the cluster(id) option, where id identifies a firm. This will give you coefficients that are
> efficient in the presence of, and standard errors that are consistent to the presence of, arbitrary
> within-cluster correlation, which in your case means consistent to arbitrary serial correlation.
>
> --Mark (another ivreg2 coauthor)
>
> Quoting "Steven Stillman (LMPG)" <[email protected]>:
>
> > 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]
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> >
> > The information contained in this document is intended only for the
> > addressee and is not necessarily the views nor the official
> > communication of the Department of Labour. All final/official papers
> > which are sent from the Department will be sent by non-electronic
> > means, on appropriate letterhead, signed by authorised personnel.
> > *
> > * For searches and help try:
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> >
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3008
> email: [email protected]
> web: http://www.som.hw.ac.uk/ecomes
> ________________________________________________________________
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--
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]
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
