楼主: smilesym1982
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[面板数据求助] 请教arlion关于xtdpdsys和xtabond2的区别 [推广有奖]

21
landan 发表于 2012-2-5 16:59:28
arlionn 发表于 2009-6-11 09:17
以下是引用smilesym1982在2009-6-10 10:19:00的发言:xtdpdsys和xtabond2都可以做system GMM估计,两者有何 ...
这样对比一下,更清晰了。谢!

22
jiemin 在职认证  发表于 2012-2-27 09:41:55
arlionn 发表于 2009-6-11 09:17
以下是引用smilesym1982在2009-6-10 10:19:00的发言:xtdpdsys和xtabond2都可以做system GMM估计,两者有何 ...
连老师,xtdpdsys在estat sargan检验有效性时为什么不出结果?
凡事预则立~

23
rainrain1015 发表于 2012-3-7 20:10:14
arlionn 发表于 2009-6-11 09:17
以下是引用smilesym1982在2009-6-10 10:19:00的发言:xtdpdsys和xtabond2都可以做system GMM估计,两者有何 ...
好像    xtabond2可以设定内生变量和前定变量。如果x是内生变量,GMM里面填写L.X如果x是前定变量,GMM里面就填写x。

24
happybear3 发表于 2012-3-21 23:33:21
rainrain1015 发表于 2012-3-7 20:10
好像    xtabond2可以设定内生变量和前定变量。如果x是内生变量,GMM里面填写L.X如果x是前定 ...
你说的那个是外生变量 前定变量和内生变量的区别有没有更细致的分析

25
mousongping1986 发表于 2012-3-30 12:38:21
又学到了!
[img][img]  三人行,必有我师

26
mousongping1986 发表于 2012-3-30 22:25:29
arlionn 发表于 2009-6-11 09:17
以下是引用smilesym1982在2009-6-10 10:19:00的发言:xtdpdsys和xtabond2都可以做system GMM估计,两者有何 ...
应用STATA10
xtdpdsys 做两步回归,无法生成常数项系数的估计,进而无法进行相关性检验,会出现错误提示: cannot calculate AR tests with dropped variables
而xtabond2做两步回归,却可以生成常数项的系数估计
是这样的吗?
[img][img]  三人行,必有我师

27
liyuswufe 发表于 2012-3-31 22:00:13
rainrain1015 发表于 2012-3-7 20:10
好像    xtabond2可以设定内生变量和前定变量。如果x是内生变量,GMM里面填写L.X如果x是前定 ...
我认为是这样的,前定变量就写x,内生变量就写l.x

28
sophiafinn 发表于 2012-4-22 04:14:15
感谢答疑!感觉就是xtdpdsys更简洁些,但是例子太少了。另外presetermined 前定变量什么意思,和内生变量什么关系和区别,l.y是作为内生变量是因为 l.y可能影响x,那么y做前定变量又是什么意思呢?

29
sophiafinn 发表于 2012-4-22 04:31:22
xtdpdsys or xtdpd is more concise way to write code for system GMM, but basically similar to xtabond2.

xtdpdsys or xtdpd can set the predetermined vars in "pre()" and endpgenous vars in "endog()", but they do not report sargan test and AR(2), need to use "estat sargan" and "estat abond" to get the postestimation, but xtabond2 automatically report these.

Here are from stata website for their difference:
http://www.stata-press.com/manuals/stata10/xtintro.pdf

b. New estimation command xtdpdsys fits dynamic panel-data models by using the Arellano–Bover/Blundell–Bond system estimator. xtdpdsys is an extension of xtabond and produces
estimates with smaller bias when the AR process is too persistent. xtpdsys is also more efficient than xtabond. Whereas xtabond uses moment conditions based on the differenced
errors in producing results, xtpdsys uses moment conditions based on differences and levels.
See [XT] xtdpdsys.

c. New estimation command xtdpd fits dynamic panel-data models extending the Arellano–Bond or the Arellano–Bover/Blundell–Bond system estimator and allows a richer syntax for specifying models and so will fit a broader class of models then either xtabond or xtdpdsys. xtdpd can be used to fit models with serially correlated idiosyncratic errors,
whereas xtdpdsys and xtabond assume no serial correlation. xtdpd can be used with models where the structure of the predetermined variables is more complicated than that assumed by xtdpdsys or xtabond. See [XT] xtdpd.d.

New postestimation command estat abond tests for serial correlation in the first-differenced
errors. See [XT] xtabond postestimation, [XT] xtdpdsys postestimation, and [XT] xtdpd postestimation.

e. New postestimation command estat sargan performs the Sargan test of overidentifying restrictions. See [XT] xtabond postestimation, [XT] xtdpdsys postestimation, and [XT] xtdpd
postestimation.
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30
语么 发表于 2012-8-19 10:58:30
多谢

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