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Dear List,
I have been trying to learn about the properties of the estimates of time-
invariant regressors obtained when estimating a dynamic panel data model
with the Blundell-Bond method, using -xtdpdsys- or -xtdpd- , e.g. estimating the model
y_it = a + b*y_it-1 + c*x_it + d*z_i + u_i + e_it
so my question refers to the estimator d-hat. One of the
big attractions of using Arellano-Bover/Blundell-Bond ( -xtdpdsys- )
rather than Arellano-Bond ( -xtabond- ) is that parameters of time-
invariant explanatory variables can be identified ... in addition to the
other attractions (consistency and greater precision when T is small, n is
small, and the true value of the parameter b (see above) is large in
absolute value).
But neither the stata manual's discussions of -xtdpdsys- and -xtdpd-, nor
for that matter the paper Blundell and Bond (1998), discuss the properties
of the estimates of time-fixed variables' parameters. The paper only
explores an AR(1) model, i.e. the RHS contains only the LDV plus the
errors, and then uses the usual UK data (see -webuse abdata- ) with time-
varying regressors only. The stata manual accordingly only picks up on the
discussion based on the UK data results. Nor have I seen much discussion
on this in other articles.
Any directions, or references, would be much appreciated!
Hewan
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