I am reading a paper and try to implement its methodology in Stata. The paper says the following:
I understand the idea but...
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GMM estimation with sample mean condition
- 1 post
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Time Series, IV-GMM, Replication Project, Code
Dear all,
I am currently trying to replicate the following paper:
Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics:...
- 1 post
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System GMM while Dependent Variable lies within [0, 1]
Hello
Is it possible to utilise the system GMM estimator using xtabond2 when our dependent variable lies within the interval [0, 1]. Moreover,...
- 1 post
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Using square term in system-GMM estimation
Hello
I am attempting to estimate a dynamic panel data model using System-GMM (two-step). In doing so, I have been reading David Roodman...
- 5 posts
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Cointegration analysis using GMM
Dear Statalisters,
I study the long run relationship between real exchange rates and underlying fundamentals based on panel data (N=17; T=...
- 1 post
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GMM & biprobit
Hello,
I am working with a firm-level panel running a dynamic GMM-SYS.
Two of the regressors (x1 and x2) determine a sample selection (I keep...
- 1 post
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Difference-in-Hansen tests of exogeneity missing
Hello, I have a dynamic panel data of 26 countries and 21 years. I am estimating my regression equation using the system-GMM command, however the Difference-in-Hansen...
- 7 posts
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GMM Stata ask me to put the instrumental variable
I am using gravity model for the trade analysis. I had read some literature and find out that there are many methods for the estimation such as fixed...
- 1 post
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First-differencing an industry-time dummy
Hi everyone,
I am using Arrelano-Bond/ Anderson-Hsiao GMM/IV 2SLS models to estimate the impact on US anti-dumping measures on China's...
- 1 post
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Contrasts of Predictive Margin after GMM
Dear Statalisters,
I am trying to plot a constrasts of predictive margins plot after a GMM regression in order to find out at which levels...Last edited by Alisdair Somerset; 18 Aug 2017, 10:53.
- 1 post
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xtabond2 or xtdpdsys? which one should be preferred
Hello Stata users,
I am relatively new in the dynamic panel estimations. I am facing a problem while I run some DPD regressions. I run the...
- 2 posts
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F-Test for strength of instruments in GMM model
Dear Statalisters,
I am currently using a system GMM to estimate the relation between independence of the board and firm value and want to...
- 2 posts
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xtabond2 and deeper lags
Hello. I'm new to here. (Correct me if there is something I'm missing!)
I have questions regarding the use of xtabond2.
I ran a regression...
- 9 posts
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GMM*Over-identifying restrictions post-estimation tests
Hello, I have a dynamic panel data of 26 countries over the period 1995-2016. I have implemented the command-xtabond- with -vce(robust)-, see my command...
- 1 post
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Lucius Nugroho started a topic Problem with twostep GMM command "employment growth model" with interaction variablesin GeneralProblem with twostep GMM command "employment growth model" with interaction variables
hallo everyone,
i want to ask some basic question about GMM in employment growth model (the effect of exchange rate volalitility on firm employment...Last edited by Lucius Nugroho; 16 Jun 2017, 02:18.
- 2 posts