Thank you Kit for your answer, I appreciated your help.
Thanks again
Mariarosaria
Citazione Kit Baum <[email protected]>:
> Mariarosaria said
>
> I estimated a dynamic equation:
> yt= a +b*y(t-1)+c*xt+et
> using xtabond2 (with the nolevel option) and ivreg2 (with the gmm
> option). I
> have used the same number of IVs for the endogenous variables (x is a
> vector
> of endogenous and exogenous variables).
> I am aware that the first command implies the adoption of an
> Arellano- Bond
> (difference GMM) estimator, while the other the use of a two-step
> feasible GMM
> estimator. However, I don't understand why I get an estimation sample
> rather
> different for the two commands: the ivreg2 sample is half that of the
> xtabond2
> (4108 vs 8467 obs).
>
> First of all the equivalent model to Arellano-Bond difference GMM
> would be D.y on LD.y and D.x if you did it "by hand" in ivreg2. If
> you used xtivreg2, fd, it would do the differencing for you.
>
> ivreg2 (and any straightforward iv technique, such as xtivreg2, fd)
> will drop one observation on every panel for each lag mentioned in
> the model or instrument specification. So if your instruments
> included, e.g., L2D.y, L3D.y, L4D.y, you would lose five observations
> per panel (one for the difference and four for the lags). The cunning
> strategy of the Arellano-Bond estimator (see Roodman's "How to do
> xtabond2" in RePEc, http://ideas.repec.org) avoids the loss of these
> additional observations for the instrumenting (or rather loses only
> one for the lags used in instrumenting; System GMM does not even lose
> that). So it is perfectly understandable that a traditional IV
> estimator (such as Anderson-Hsiao implemented by xtivreg2, fd) will
> work with a much smaller sample than will Arellano-Bond or Blundell-
> Bond.
>
> Kit
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
> *
> * 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/
>
-------------------------------------------------
This mail sent through IMP: http://horde.org/imp/
*
* 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/
