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Dynamic Panel Data
I have a balanced data of N=26 and T=1. Since I have a dynamic panel data I plan to use the GMM estimator. However, I am not sure whether I should choose...
 1 post

DifferenceGMM and SystemGMM
I am using a panel dataset of 26 countries for the period 19952015. I have a lagged dependent variable in my regression equation. I am confused whether...
 2 posts

2SLS Model with Autocorrelation and Heteroscedasticity
Hi everyone,
I have a panel set data and want to test 2 models, both of which are correlated one with another. My data set has 982 observations...Last edited by Karinna Lai; 29 Apr 2018, 21:58.
 1 post

GMM estimation with sample mean condition
I am reading a paper and try to implement its methodology in Stata. The paper says the following:
I understand the idea but...
 1 post

Time Series, IVGMM, Replication Project, Code
Dear all,
I am currently trying to replicate the following paper:
Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics:...
 1 post

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

Using square term in systemGMM estimation
Hello
I am attempting to estimate a dynamic panel data model using SystemGMM (twostep). In doing so, I have been reading David Roodman...
 5 posts

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

GMM & biprobit
Hello,
I am working with a firmlevel panel running a dynamic GMMSYS.
Two of the regressors (x1 and x2) determine a sample selection (I keep...
 1 post

DifferenceinHansen 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 systemGMM command, however the DifferenceinHansen...
 7 posts

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

Firstdifferencing an industrytime dummy
Hi everyone,
I am using ArrelanoBond/ AndersonHsiao GMM/IV 2SLS models to estimate the impact on US antidumping measures on China's...
 1 post

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

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

FTest 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