Hi ,
I was using xtabond2 to estimate a dynamic panel using arellano bond and arellano bover GMM estimation. I received a comment (without justification) that I should use a dynamic panel VAR with GMM estimation (pvar in stata) . What is the difference between the two approaches and whar is the justification for using pvar instead of xtabond2?
Is there any reference that I could rely on?
Thanks.
I was using xtabond2 to estimate a dynamic panel using arellano bond and arellano bover GMM estimation. I received a comment (without justification) that I should use a dynamic panel VAR with GMM estimation (pvar in stata) . What is the difference between the two approaches and whar is the justification for using pvar instead of xtabond2?
Is there any reference that I could rely on?
Thanks.
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