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Re: st: Windmeijer's corrected se in xtivreg2 gmm2s
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Windmeijer's corrected se in xtivreg2 gmm2s
Date
Mon, 27 Jun 2011 10:16:21 -0400
<>
On Jun 27, 2011, at 2:33 AM, Humairat wrote:
> Thank you Kit for your useful input. The model I am estimating using xtivreg2 gmm2s cluster(id) is a static model and not dynamic. In the subsample N is 45, average T is 4.1 and the total number of observations are 185.
If it is a static model, you don't need DPD methods, and the Windmeijer correction is irrelevant. It pertains to the second-stage VCE of DPD estimates, not to GMM estimates of a static model. The cluster-robust VCE should be consistent, and with 45 firms you have a reasonable number of clusters per the Angrist-Pischke-Adams rule of thumb of 42.
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
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