Dear Dann and statalist users;
I have read the Blundell and Bond paper (JOE 87, 1998)about the
validity of the GMM estimator developed by Arellano and Bond in 1991.
Actually i have some doubts about the interpretation of the Monte-
Carlo simulations attached. It seems that there is a little gain when
N=500 and T=11.
I am working with a panel data of N=604 and T=8 and i obtain an high
value of alpha, above 0.8. Is it worth to estimate the Blundel-Bond
model using DPD with so huge database? Also, are the Arellano-Bond
results biased in my model?
All sugestions are welcome!!!!!!
Thanks in advance.
Faithfully yours
Alfredo Lopez
Business and Management Department
University of Zaragoza
Zaragoza (Spain)
--- In [email protected], "Millimet, Daniel" <millimet@m...>
wrote:
> You may want to at least see the work by blundell and bond, I
believe in
> Econometric Reviews, around 2000-2002. they show that the arellano-
bond
> estimator is biased when the coefficient on the lagged dependent
var.
> gets even reasonably close to 1 (anything above about 0.7). They
> propose an alternative estimator that is available in gauss. I'm
not
> sure what happens to that revised estimator if in fact there is a
unit
> root. I imagine it fails.
>
> Dann
>
> ----------------------------------------------------------------
> Daniel L. Millimet, Assistant Professor
> Department of Economics
> Box 0496
> SMU
> Dallas, TX 75275-0496
> e-mail: millimet@m...
> phone: 214.768.3269
> fax: 214.768.1821
> web: http://faculty.smu.edu/millimet
> ----------------------------------------------------------------
>
>
> > -----Original Message-----
> > From: Dev Vencappa [mailto:lexdvv@n...]
> > Sent: Friday, October 10, 2003 7:53 AM
> > To: statalist@h...
> > Subject: Re: st: dynamic panel estimation in the presence of
> > unit roots
> >
> >
> > Statalist, is there anybody who knows of relevant literature
> > on what are the consequences of estimating dynamic panels
> > when the variables have unit roots and what are the
> > consequences for that? (and any possible implementation in Stata)
> >
> > Any suggestions please?
> >
> > Dev
> >
> >
> > Dev Vencappa
> > School of Economics
> > University of Nottingham
> > University Park
> > Nottingham
> > NG7 2RD
> > U.K.
> > Tel : +44 (0)115 951 5608
> > Fax: +44 (0) 115 951 4159
> >
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> >
>
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