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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