Suggested Citation Roodman, David, How to do Xtabond2: An Introduction to Difference and System GMM in Stata (December 2006). Center for Global Development Working Paper No. 103. Available at SSRN: http://ssrn.com/abstract=982943 or http://dx.doi.org/10.2139/ssrn.982943...
novel capabilities to Stata users. Going beyond its namesake, the built-in xtabond, it implemented System GMM. It made the Windmeijer (2005) finite-sample correction to the reported standard errors in two-step estimation, without which those standard errors tend to be severely downward biased....
Hi, fellow statalisters, I am doing a simulation about GMM. I define the program as rclass; calculate the GMM estimater in mata, but I don't know how to return the GMM estimate from mata into stata in the form of rclass. I appreciate that someone will help me out. thanks a lot...
April 2010 06:39 > To: statalist@hsphsun2.harvard.edu > Subject: st: how to return a value in mata into stata in the form of rclass? > > > > Hi, fellow statalisters, > I am doing a simulation about GMM. I define the program as rclass; > calculate the GMM estimater in ...
We aim to evaluate the effects of public works on (a) SWC practices and (b) the allocation of household labor hours to agricultural and non-agricultural activities.Footnote6In a randomized intervention scenario, the outcome of non-participant households becomes an estimate of the counterfactual. ...
participation and the outcome would thus erroneously attribute their effects to IMF participation. Scholars have employed four strategies to overcome this limitation: matching methods, instrumental variables approaches, system GMM estimation, and variants of Heckman estimators.Footnote3We discuss each in ...
Second, with cluster externalities affecting firm characteristics, empirical analyses incorrectly estimate the cluster-level effect of knowledge spillovers, even when controlling for ex-ante self-selection by firms. Third, measuring the effect on firms is not equivalent to measuring the effect on cluster...
Solution: GMM & GMM-style instruments (Holtz-Eakin, Newey, and Rosen 1988) Problem: Autocorrelation Solution: Restrict to deeper lags Arellano-Bond AR() test Problem: Weak instruments Solution: Instead of purging fixed effects, find instruments orthogonal to them (Arellano and Bover 1995) Relations...
Finally, we employ a modeling approach to estimate the returns of bank i and the overall banking system, taking into account state variables. This enables us to dynamically calculate each bank's contribution to systematic risk over time. The MES, which was introduced by Acharya, Pedersen, ...
April 2010 06:39 To: statalist@hsphsun2.harvard.edu Subject: st: how to return a value in mata into stata in the form of rclass? Hi, fellow statalisters, I am doing a simulation about GMM. I define the program as rclass; calculate the GMM estimater in mata, but I don't know...