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| From | "Bernadette Durz" <bernadette.durz@gmx.de> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: GMM: first-differencing vs. orthogonal deviations |
| Date | Wed, 27 Jun 2012 11:21:29 +0200 |
Hi everybody! I am using the difference GMM estimator with a balanced panel. I read in different papers (i.e. Arellano/Bond 1995, Roodmann 2009) that transformations with first-differencing and orthogonal deviations should lead to the same results when working with a balanced panel. Unfortunately, this is not the case. Does anybody know why the results differ? Which transformation should be preferred? I am using xtabond2 in Stata. Thanks a lot for consideration! Bernadette -- Empfehlen Sie GMX DSL Ihren Freunden und Bekannten und wir belohnen Sie mit bis zu 50,- Euro! https://freundschaftswerbung.gmx.de * * 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/