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st: xtabond2 interpretation of the constant in system GMM?
From
Evan Markel <[email protected]>
To
[email protected]
Subject
st: xtabond2 interpretation of the constant in system GMM?
Date
Thu, 25 Apr 2013 16:06:27 -0700
Dear listservers,
I'm confused about the interpretation of the intercept term when
estimating system GMM. I understand the constant gets differenced out
in Difference GMM so there is no reason to suppress the constant using
the xtabond2 option "noconstant". However what is the constant in
System GMM? What is the advantage to suppress the constant in System
GMM?
Is it similar to the constant when estimating fixed effects, the
average of the fixed effects?
Thank you in advance,
Evan
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