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st: Arellano Bond models and hypothesis testing


From   Ed Levitas <levitas@uwm.edu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: Arellano Bond models and hypothesis testing
Date   Fri, 11 Oct 2002 13:22:14 -0500

Hello,

I want to use xtabond (Arellano Bond for panel data) to estimate dynamic
panel data models of the following form:

1) y = y(t-1) + x1  (restricted model)
2) y = y(t-1) + x1 + x2 (unrestricted model)
where y is the dependent variable and y(t-1) is a one-year lagged dependent
variable.

Can some suggest how I might test the merits of the unrestricted model vs.
the restricted model (e.g. does the addition of x2 explain additional
variance in a significant manner)?

Any suggestions would be greatly appreciated. Thanks in advance.

-Ed
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