We have a two-step estimation problem where the first step corresponds to the treatment model and the second to the outcome model. As shown in Using gmm to solve two-step estimation problems, this can be solved with the generalized method of moments using gmm. This continues the series of ...
To statalist@hsphsun2.harvard.edu Subject Re: st: xtabond2 and consistency using twostep robust Date Mon, 8 Aug 2011 02:37:16 +0100Hi, two step GMM results in more asymptotic efficient estimates than one step. The bias in the two step standard errors are corrected by Windmeijer's (200...
Windmeijer (2005) explains why, with numerous instruments, the estimated asymptotic standard errors of the efficient, two-step, GMM estimator are downward biased in small samples. GMM estimation is based on an estimated optimal weight matrix, which is the inverse of the covariance of the sample ...
Arellano and Bond (1991) develop new one-step and two-step GMM estimators for dynamic panel data. See [XT] xtabond for a discussion of these estimators and Stata's implementation of them. In their article, Arellano and Bond (1991) apply their new estimators to a model of dynamic labor ...
{phang}{help twostepweakiv##references:References}{p_end} {phang}{help twostepweakiv##citation:Citation of twostepweakiv}{p_end} {marker description}{...} {title:Description} {pstd} Building on the existing Stata package {helpb weakiv}, {opt twostepweakiv} construct tests for weak...
This is a mixed ecological study with spatial and temporal trends, based on national population data from the Brazilian Ministry of Health - hospital admissions (HA) and death certificates (DC). Records with CD as a primary or secondary cause of death in HA and/or as an underlying or associ...
To <statalist@hsphsun2.harvard.edu> Subject st: xtabond2 and consistency using twostep robust Date Sat, 06 Aug 2011 10:51:10 -0400Dear Statalist -- I am using xtabond2 to estimate a systems GMM dynamic panel data model with both a lagged dependent variable (health) and pre-determined ...
We recommend using these standard errors with the two-step GMM estimator. The footer of the table provides two valuable pieces of information: Hansen's J test of overiden- tifying restrictions and the instruments used to fit the model. A rejection of Hansen's test indicates that the moment ...
Model 3 is a two-step differential GMM estimation of Equation (20), namely the reference model, to examine the effect of China’s two-way FDI coordinated development on domestic carbon emissions. The Arellano–Bond test cannot reject the null hypothesis that the second-order serial correlation ...
The biomass models mentioned above were constructed using Stata software (version 17), and the model parameters were estimated using the NSUR method within the program. (2) Generalized method of moments (GMM) GMM is a flexible estimation method that can be applied to a wide range of models ...