Re: [Gretl-users] DPANEL time dummies and the dpdstyle
17.05.2013 12:38, Pindar:
Hi there,
I have a panel of bank data for 12 years and investigate on the effect
of interest rates on risk-taking.
Although every characteristic of the dataset says DPANEL I have some
problems getting correct estimations.
The main problem is one of multicollinearity: The time dummies and two
of my regressors lead to omitting two time dummies. Since not all of
them are significant I could kick them out before and have the same
time dummy specification through all models. The multicollinearity
problems starts in FE estimation and stays in DPANEL.
Actually I wonder why this happens, and whether this is a signal for
misspecification.
Since including the significant time dummies is crucial, I started to
replicate the --time switch.
This works for the GRTEL DPANEL method, but how to tell GRETL to
perform --dpdstyle without the --time switch?
Is this possible?
I found in Roodman (2006/2008) p. 42 the necessary "gynmastics" for
'Difference GMM' in stat code:
This example exactly imitates the regression for column (a1), Table 4 in
Arellano and Bond (1991):
forvalues y = 1979/1984 { /* Make variables whose differences are time
dummies */
gen yr`y?c = year >= `y?
}
gen cons = year
xtabond2 n L(0/1).(L.n w) L(0/2).(k ys) yr198?c cons, gmm(L.n)
iv(L(0/1).w L(0/2).(k ys)
yr198?c cons) noleveleq noconstant small robust
What is he doing here? This is what the --dpd flag does, right?
I detect the the loop, but don't know how to adapt the code in HANSL.
(I have no experience with STATA code)
Thanks in advance
Leon
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