2:08 p.m.
Dear All,
Good morning,
I have an important issue troubling me. I had some prior trouble with the AR(2) test in my
initial dataset. To this end, I
have increased the N (53) and reduced the T (4 and 3) of my dataset to mitigate
potential issues of instrument proliferation. Hence, I'm now working with 53
cross-sections of 4-year and 3-year non-overlapping intervals. I am now more confident
with the identification restrictions (more or less four degrees of freedom in
overidentification).
But my concern persists: after performing the two-step System GMM, the results for the
AR(2) errors test reads 'not applicable'. Can I use the AR(1) test as the
information criterion for the Arellano & Bond autocorrelation test?
Thank you for the opportunity of guidance.
Best,
Simplice
8:21 p.m.
Am 04.02.2014 15:08, schrieb Anutechia Asongu:
But my concern persists: after performing the two-step System GMM, the
results for the AR(2) errors test reads 'not applicable'. Can I use the
AR(1) test as the information criterion for the Arellano & Bond
autocorrelation test?
I don't really know what you mean by "information criterion for the
test", but in Arellano-Bond the AR(1) test doesn't tell you anything
that you didn't know already, first-order correlation is/should be in
there by design. So, no.
-sven
9:03 p.m.
On Tuesday, February 4, 2014 9:24 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 04.02.2014 15:08, schrieb Anutechia Asongu:
But my concern persists: after performing the two-step System GMM, the
results for the AR(2) errors test reads 'not applicable'. Can I use the
AR(1) test as the information criterion for the Arellano & Bond
autocorrelation test?
I don't really know what you mean by "information criterion for the
test", but in Arellano-Bond the AR(1) test doesn't tell you anything
that you didn't know already, first-order correlation is/should be in
there by design. So, no.
-sven
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Thanks Sven,
Well, I'm thinking of trying something else, limiting instrument proliferation by
changing how the instrument is set and not by shrinking the sample (decreasing T and
increasing N) as I did in my previous strategy. Can anyone gist me on the Gretl equivalent
of Stata's
xtabond2? http://www.cgdev.org/publication/note-theme-too-many-instruments-working-...
Thank you in advance
9:11 p.m.
Am 04.02.2014 22:03, schrieb Anutechia Asongu:
Thanks Sven,
Well, I'm thinking of trying something else, limiting instrument
proliferation by changing how the instrument is set and not by shrinking
the sample (decreasing T and increasing N) as I did in my previous
strategy. Can anyone gist me on the Gretl equivalent of Stata's
xtabond2?
How to choose the (amount of) instruments is actually documented for the
dpanel command... RTFM (no offense intended)
-sven
9:33 p.m.
On Tue, 4 Feb 2014, Sven Schreiber wrote:
Am 04.02.2014 22:03, schrieb Anutechia Asongu:
>
>
> Thanks Sven,
> Well, I'm thinking of trying something else, limiting instrument
> proliferation by changing how the instrument is set and not by shrinking
> the sample (decreasing T and increasing N) as I did in my previous
> strategy. Can anyone gist me on the Gretl equivalent of Stata's
> xtabond2?
How to choose the (amount of) instruments is actually documented for the
dpanel command... RTFM (no offense intended)
See in particular the section titled "Instruments" in the Chapter on
dynamic panel models in the Gretl User's Guide.
Allin Cottrell
9:48 p.m.
Thanks Allin
On Tuesday, February 4, 2014 10:34 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Tue, 4 Feb 2014, Sven Schreiber wrote:
Am 04.02.2014 22:03, schrieb Anutechia Asongu:
>
>
> Thanks Sven,
> Well, I'm thinking of trying something else, limiting instrument
> proliferation by changing how the instrument is set and not by shrinking
> the sample (decreasing T and increasing N) as I did in my previous
> strategy. Can anyone gist me on the Gretl equivalent of Stata's
> xtabond2?
How to choose the (amount of) instruments is actually documented for the
dpanel command... RTFM (no offense intended)
See in particular the section titled "Instruments" in the Chapter on
dynamic panel models in the Gretl User's Guide.
Allin Cottrell
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5 comments
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participants (3)
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Allin Cottrell -
Anutechia Asongu -
Sven Schreiber