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
Merging datasets with multiple observations per company IDHi, Newbie to Stata and trying two merge two datasets (one from Compustat and one from Execucomp) wi…
Firm/Entity Fixed EffectDear all, I try to include a Firm/Entity fixed effect in my regression model, but I cant specifical…
Trend analysis - ptrendHi Listers, I am interested in assessing the relationship between diabetes diagnosis (yes/no) and a…
Baseline characteristics with multiple imputed dataDear all, I am working with multiple imputed data from a RCT with an intervention and a control gr…
(Quasi-)Three-dimensional panel data with binary depedent and independent variablesDear Stata-community, I have just started my PhD and am quite new to stata and could use some guidan…
Subscribe to:
Post Comments (Atom)
0 Response to xtabond2 help and advice
Post a Comment