Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Structural Break Type Test with Fixed Effects IV and GMM
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: Structural Break Type Test with Fixed Effects IV and GMM
Date
Sat, 10 Apr 2010 15:07:03 -0400
Dominic Soon <[email protected]>
-fe- is not an option for -xtabond-. Are you thinking you have a
dynamic panel model, or S is endogenous (i.e. you mean -xtivreg-)? If
the latter, what instruments are you using? You probably want L and
L*S included as regressors, and you then have 2 endog vars: S and L*S.
Then you want instruments that differentially affect S in the early
and late periods.
On Fri, Apr 9, 2010 at 11:34 PM, Dominic Soon
<[email protected]> wrote:
> Dear Statalisters,
>
> I am trying to estimate a regression of two variables output (Y) on
> R&D capital stock (S), as well as some other variables (e.g. labour,
> capital, so on and so forth). For simplicity, let's say the model is:
>
> Y_it = a_i + beta * S_it + error term
>
> I am trying to see whether the coefficient beta is different between
> an (assumed) "early" and "late" period. I'm also attempting to run
> the regression using both fixed effects and GMM.
>
> The question is - are there any issues with this methodology,
> particularly when running a GMM estimation. Suppose I ran something
> like:
>
> xtabond Y S S_late, fe
>
> where S_late is equal to L times S, with L being a dummy variable that
> is equal to 1 if t is later than my (assumed) breakpoint, can the
> t-statistics be interpreted sensibly?
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/