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From | Christopher Baum <kit.baum@bc.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: Windmeijer's corrected se in xtivreg2 gmm2s |
Date | Sun, 26 Jun 2011 16:28:35 -0400 |
<> Thank you Anees for your help. I have read all the relevant literature in detail. I have used xtabond2 for my dataset, now I want to analyse the subsample for something. The problem is the number of observations is 156 in the sub sample and I cant apply xtabond2 because of small sample size. I have applied xtivreg2 and now I want to correct the estimates for small sample size bias (Windmiejer's correction). I am interested in knowing how can I apply the Windmeijer's correction on xtiverg2 gmm2s cluster(id). The Windmeijer correction is for Arellano-Bond and Blundell-Bond "DPD" models. xtivreg2 by Mark Schaffer does not estimate those DPD models. It would not be appropriate to apply xtivreg2 with fixed effects to a dynamic panel model. The fact that xtivreg2 (and the underlying ivreg2 of Baum-Schaffer-Stillman) has a GMM option does not mean that it can consistently estimate dynamic panel models. When you say you have only 156 obs. in the subsample, what is N and what is the average T? Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.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/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/