This is a good idea. But is it going to be equivalent? The GMM-type
procedures transform the data in first-differences while the fixed effects
use the within transformation.
Vasilis
On Apr 21 2005, Mark Schaffer wrote:
The official Stata command xtabond might do what you want.
Or go straight to David Roodman's xtabond2, which is more flexible.
From within Stata, type
findit xtabond2
and take it from there.
HTH.
--Mark
From: "V. Sarafidis" <[email protected]>
To: [email protected]
Subject: st: Dynamic fixed effects in Stata
Date sent: 21 Apr 2005 13:40:09 +0100
Send reply to: [email protected]
> Hello,
>
> I've got a question that might have already been answered a lot of
> times in the list but I am pretty new here.
>
> Is there any obvious way to run fixed effects with dynamics in Stata
> (8)?
>
> For example the following model:
>
> Y(i,t)=a(i) + b*X(i,t) + d*(Xi,t-1)+u(i,t)
>
> where X is strictly exogenous
>
> Thank you in advance for your help
>
> Vasilis
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert
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--
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