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  • dynamic panel threshold regression (GMM)

    Dear Statalists,

    My research is about the effect of inflation on the relationship between financial development and economic growth

    N=43, T=8
    the dependent variable is rgdpg

    endogenous variables are rgdpg ihs_inigdppc fdxstwo ihs_gfcf

    exegnouse varaibles are ihs_inf ihs_gov ihs_trd ihs_lbor

    And I needs to determine whether there is a threshold of inflation (ihs_inf) that impact on the relationship between financial development and economic growth using a dynamic panel threshold method using the "xtendothresdpd" However, I could not find the command!?

    Could you please provide me the xtendothresdpd command according to my variables


    Thank you

    Badiah

  • #2
    Code:
    ssc describe xtendothresdpd
    https://www.kripfganz.de/stata/

    Comment


    • #3
      Sebastian Kripfganz Dear Sebastian, thank you very much for your support, it's very useful. I have installed it successfully, thank you

      Now, I am trying to type xtendothresdpd command with my variables as follow:

      xtendothresdpd rgdpg L.rgdpg fdxtwo ihs_gov ihs_trd ihs_lobr ihs_gfcf , thresv( ihs_inf) stub(inflation) pivar(finane) dgmmiv() twostep vce(robust)

      Where
      the dependent variable is rgdpg, fdxtwo is the independent variable and the control variables are : ihs_inf ihs_gov ihs_trd ihs_lbor


      endogenous variables are rgdpg ihs_inigdppc fdxstwo ihs_gfcf

      exegnouse varaibles are ihs_inf ihs_gov ihs_trd ihs_lbor

      In the xtendothresdpd command I put dependent variable, independent variable, control variables, and then for the thresv option i put (thresold variable which is ihs_inf) and for stub option I put the threshold varible, ihs_inf, but in different name what I called (inflation), and for the option of pivar I put the independent variable which is depends on the threshold and this variable is fdxtwo however I wrote it in different name as (finance). If I am on the right way till now! I struggled to write the dgmmiv option! Are the instruments variables that I have used foe (iv optionin) in the dynamic Gmm xtabond2 command the same? which are ihs_inf ihs_gov ihs_trd ihs_lbor

      please guide me to the correct understanding

      I would appreciate your help professor

      best regards

      Badiah

      Comment


      • #4
        Sebastian Kripfganz Dear Sebastian, I tried to follow the example has been applied in the stata help file. However I got this message from stata

        what is mean this message?



        HTML Code:
         xtendothresdpd rgdpg rgdpg_lag1 fdxstwo ihs_gov ihs_gfcf ihs_trd ihs_lbor ihs_inigdppc , thresv(ihs_inf) stub(th) pivar(ihs_inf) dgmmiv(rgdpg) twostep vce(robust)
        
        ==============================================================================
        Performing Dynamic Panel Data Threshold Effects with
        Endogenous Regressors Estimations.
        This may take some time, please wait.
        ==============================================================================
        
        nquantiles() must be less than or equal to number of observations plus one
        r(198);
        I would appreciate your help professor


        Regards

        Badiah

        Comment


        • #5
          I am afraid I have no experience with this command and cannot help.
          https://www.kripfganz.de/stata/

          Comment


          • #6
            No problem, I appreciate your help professor


            Thank you

            Comment


            • #7
              Originally posted by Badiah Eljahimi View Post
              Sebastian Kripfganz Dear Sebastian, I tried to follow the example has been applied in the stata help file. However I got this message from stata

              what is mean this message?



              HTML Code:
               xtendothresdpd rgdpg rgdpg_lag1 fdxstwo ihs_gov ihs_gfcf ihs_trd ihs_lbor ihs_inigdppc , thresv(ihs_inf) stub(th) pivar(ihs_inf) dgmmiv(rgdpg) twostep vce(robust)
              
              ==============================================================================
              Performing Dynamic Panel Data Threshold Effects with
              Endogenous Regressors Estimations.
              This may take some time, please wait.
              ==============================================================================
              
              nquantiles() must be less than or equal to number of observations plus one
              r(198);
              I would appreciate your help professor


              Regards

              Badiah
              Hi Badiah,

              I hope your are doing good. I'm facing the same problem as mentioned by you. Could you please guide me how to handle it.

              Comment


              • #8
                Rahul Thakur You should try to adjust your grid(.) because default value of grid is 400, and it may higher than your obs

                Comment

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