st: Re: How to correct for generated regressor bias in an Arellano-Bond model

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

I think that appendix of NBER Working Paper #6652 has a procedure that you 
can use. R


----- Original Message ----- 
From: "Haardt, David A M" <damhaa@essex.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, June 03, 2007 6:23 AM
Subject: st: How to correct for generated regressor bias in an Arellano-Bond 
model



> Hello everybody,
>
> I have the following problem:
>
> In a first-stage OLS regression, I predict labour income. I then create a
> shock variable using predicted labour income and other, non-predicted,
> variables (such as actual labour income).
>
> This shock variable is then included as an explanatory variable in the
> second stage, a difference GMM estimator which I implement using the
> -xtabond- command.
>
> How could I correct for generated regressor bias in this context? Robust
> standard errors will not be sufficient, I assume. The fact that I do not
> just include the predicted variable, but rather a variable which has been
> generating using the predicted variable, is a further complication.
>
> Best wishes,
>
> David
>
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