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st: xtabond: Arellano & Bond 1991


From   "Gindo Tampubolon" <[email protected]>
To   [email protected]
Subject   st: xtabond: Arellano & Bond 1991
Date   Tue, 2 Jul 2002 09:32:18 GMT1BST

Dear All,

I am learning -xtabond- at the moment using David Drukker's last 
year talk and the [R] Stata manual. I hope you can help me with 
these questions:

1. I can't replicate the output of the Arellano & Bond 1991 Table 4.c.
( David and [R] reported the results in columns a1 and a2)
Where did I go wrong in specifying the model below as it gives 
different estimates to A&B Table 4.c?
---
set matsize 1000
set mem 20m
use http://fmwww.bc.edu/RePEc/nasug2001/abdata.dta
tsset id year

forvalues yr = 1(1)9 {
	local yr2 = 1975+`yr'
	rename yr`yr' yr`yr2'
}

gen ln=l.n
gen l2n=l2.n

gen lw=l.w

gen lk=l.k
gen l2k=l2.k

gen lys=l.ys
gen l2ys=l2.ys

xtdes

xtabond n l(0/1).ys yr1980-yr1984, lags(2) twostep /*
                      */    pre(w, lag(1,.)) pre(k)
--

Also, how do I get the estimates on Table 4.d?

2. A&B 1991 p.291 give the estimates of the long run 
elasticity of wage and capital. My understanding is these 
estimates are derived according to Wickens & Breusch 
1988. My question is how to derive the standard errors? Or 
is there an option to include to get these estimates and 
their standard errors.

A&B 1991: Some tests of specification for panel data. Rev. 
Ec. Studies, 58
W&B 1988: Dynamic specification, the long-run and the 
estimation of transformed regression models. Ec. Journal, 
98

FYI. Stata version 7 Special Edition On Windows NT 4

Thank you all very much for your help.
[email protected]
MIMAS
University of Manchester
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