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RE: st: GMM
But from a practical point of view, try them and compare the
coefficients and their significance levels. If they all producde similar
results, it won't probably not matter a lot which command you finally
use
Justina
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Janine
Darfield
Sent: 28 May 2006 22:34
To: [email protected]
Subject: Re: st: GMM
Hi,
I posted the following question last week but didn't get any replies, I
am trying again in case anyone can help. Basically I am trying to do GMM
analysis in STATA and am trying to understand the difference between
- xtabond/xtabond2;
- ivreg, gmm / xtivreg, gmm; and
- ivgmm0
Is there any guidance as to under what circumstances one such method is
better than the other? How (if at
all) could one get equivalent results with all 3 methods? I realise this
might be a broad question but even if someone could help with part of it
I would appreciate it a lot.
(I have already read the help files as well as the paper by Baum
Schaffer and Stillman, and Stephen Bond's paper on Dynamic Panel Data
Models; but am still confused on this point.)
Thanks in advance,
Janine
--- Janine Darfield <[email protected]>
wrote:
> Hi,
>
> I need to do some GMM estimation on panel data (which has about 700
> companies and about 40 quarters). I have found 3 stata commands for
> doing GMM:
> xtabond/xtabond2; ivreg, gmm / xtivreg, gmm; and ivgmm0 (I hope I am
> correct that these are all ways of estimating with GMM). Can anyone
> tell me what the difference between the 3 methods is and which of
> these is the "best" to use? And is there a way of getting an
> equivalent result in these 3 methods (for example what would be an
> equivalent specification, if any?)
>
> I would be terribly grateful for any guidance as I have tried to read
> the help files and other literature but am still very confused about
> this.
>
> Janine
>
>
>
>
>
>
>
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