Hi All,
I would appreciate your kind help on these questions (Please excuse any naivety. It's my first time to construct an econometric model)
1- Is there a way to test for structural breaks in panel data in Stata 13.0? (the xtbreak command does not work)
2- Should we test for stationarity taking structural breaks into account (xtbunitroot) anyway even if we are unable to know if structural breaks exist?
3- Do we test for outliers for each variable separately? Is Grubbs test the best for panel data? If it shows no outliers, should I stick to it?
4- How do we decide between IV (xtivreg2) and GMM (xtabond2 or xtdpdgmm). I know GMM is preferred in case of heteroscedasticity but why not use xtivreg2 with the cluster option?
5- How do we test for endogeneity before running GMM (xtabond2 or xtdpdgmm). Is dmexogxt ok or does it only work for IV (xtivreg2) ?
Thanks a lot.
I would appreciate your kind help on these questions (Please excuse any naivety. It's my first time to construct an econometric model)
1- Is there a way to test for structural breaks in panel data in Stata 13.0? (the xtbreak command does not work)
2- Should we test for stationarity taking structural breaks into account (xtbunitroot) anyway even if we are unable to know if structural breaks exist?
3- Do we test for outliers for each variable separately? Is Grubbs test the best for panel data? If it shows no outliers, should I stick to it?
4- How do we decide between IV (xtivreg2) and GMM (xtabond2 or xtdpdgmm). I know GMM is preferred in case of heteroscedasticity but why not use xtivreg2 with the cluster option?
5- How do we test for endogeneity before running GMM (xtabond2 or xtdpdgmm). Is dmexogxt ok or does it only work for IV (xtivreg2) ?
Thanks a lot.
