Re: st: Stata 9.2 versus Limdep

[David Airey <david.airey@Vanderbilt.Edu>]

There are also some other robust options in regress that are possible  
(hc2, hc3) that are discussed in the manual for regress. Also there is  
some documentation for Stata vce() that you might report back to the  
list as to whether the methods of robust or options for vce()  
described in the manuals even match those in the documentation for  
Limdep.


On Mar 26, 2009, at 1:23 PM, Nick Cox wrote:

> I would like to provide you with further information about my query  
> (see
> below for Michael's comments/queries).
>
> 1. I have always used Limdep and have only recently switched to  
> Stata as
> Stata seems to be the only package able to estimate the Blundell-Bond
> (1998) system GMM estimator for a dynamic panel data model.
>
> 2. Bond (2002) explains the typical approach in determining whether  
> the
> first-differenced GMM estimator (Arellano and Bond (1991) or the  
> system
> GMM estimator is preferable for a particular model and dataset. An  
> AR(1)
> regression is run using a pooled OLS regression and a Within Groups
> regression. Without going into too much detail, due to the omitted
> variable bias, the coefficient on the lagged dependent variable  
> obtained
> from the pooled OLS regression tends to be upward biased and serves as
> an upper bound. Conversely, Within Groups tends to produce downward
> biased estimators. This is the reason why I used REGRESS and  
> estimated a
> simple, pooled OLS regression.
>
> 3. SKIP is a command used in Limdep to ignore missing values. This is
> not done automatically and can create avoc.

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