Hello I have a panel data with firm-year data. number of firms approx 1000 and number of years 10
I am estimating the following:
firm_risk_at_t = firm_risk_at_t-1 + firm_stakeholder_practices_at_t + firm_stakeholder_practices_at_t-1 + stuff + error as
my coefficient of interest is really those on stakeholder practices, i.e. I can potentially justify running a model without the AR(1) term. Nevertheless, stakeholder practices is likely endogenous. As such, i am using xtabond2
I tried pooled OLS and fixed effects to estimate the above, and the difference GMM model estimate is closer to the OLS. I therefore conclude that system GMM is not really worth it and decide to use difference GMM. this is my code:
xtabond2 firm_risk L.firm_risk L(0/1).stakeholder_practices yr* , gmm(L.firm_risk) iv(stakeholder_practices yr*) robust small noleveleq orthogonal
when i run the above, i get a negative estimate on stakeholder practices.
When i run the above without the orthogonal option, i get a positive estimate.
Is there something blatantly different with that option?
Also, my p values for Sargan and Hansen tests are close to 0.000. Any suggestions?
Related Posts with xtabond2 help and advice
Issues with string variable that takes numeric values ('1', '2', ...)I read in a dataset that includes many columns of categorical variables denoted by '1', '2', ... 1)…
PPML Fixed EffectsHi, In a Gravity Model estimation with PPML, which is the difference between these two options if I…
Fake private messagesIf anyone receives a private message that appears to be from me please disregard it (and perhaps not…
STATA commandHello. My name is Kilourou Yenipoho. I am using STATA 13 to analyze a large panel. I have a concern.…
How to estimate multiple treatment effects?Hi friends, I need some advise. I am trying to estimate the effect of government program (funding) …
Subscribe to:
Post Comments (Atom)
0 Response to xtabond2 help and advice
Post a Comment