Dear Statalist users
Could you please help with advice on how to construct an Error correction model: GMM first difference as used in Bond, Stephen, et al. “Financial Factors and Investment in Belgium, France, Germany, and the United Kingdom: A Comparison Using Company Panel Data.” The Review of Economics and Statistics, vol. 85, no. 1, 2003, pp. 153–165
Is xtabond2 command best estimation method for it?
I have an Euler equation models: GMM first difference part as used in the paper. But I am struggling with the Error-correction model. Any advice or help is much appreciated.
The code for Euler equation :GMM first difference is
foreach s of varlist all manu {
foreach x in L {
ivregress gmm di_over_k _Iyear* ($controls = l2.i_over_k l2.pi_over_k l2.Y_over_k ///
l3.i_over_k l3.pi_over_k l3.Y_over_k ///
l4.i_over_k l4.pi_over_k l4.Y_over_k ///
l5.i_over_k l5.pi_over_k l5.Y_over_k ///
l6.i_over_k l6.pi_over_k l6.Y_over_k) ///
if sample7 & fsize=="`x'" & `s'
quietly: outreg2 using "test_bond", append ctitle("`x'-`s'") $outreg_ops
gem `s'_sample=e(sample)
}
}
Regards,
Gulnara
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