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st: Xtabond2 versus xtabond


From   "Yontcheva, Boriana" <BYontcheva@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Xtabond2 versus xtabond
Date   Fri, 13 Aug 2004 14:31:21 -0400

Hi all,
I'm new to stata and statlist. I have been trying to replicate results
obtained through using xtabond command with the xtabond2 command, by
using the "noleveleq" option. I thought  this option makes xtabond2 give
a first difference estimator equivalent to the Arellano Bond estimator
obtained by using the xtabond command. 

My model is as follows: y= y(t-1) + x(t)  + time dummies + individual
effects+ time varying error term.

Where x(t) are strictly exogenous variables. 

In order to estimate this through Arellano Bond I use the following
command: 

xtabond y x1...x4 time dummies, lag(1)

In order to estimate it through xtabond2 I use the following command
with the noleveleq option:

xtabond2 y L.y x1..x4 time dummies,  noleveleq ivstyle(x1-x4 time
dummies, passthru) gmmstyle(L.ed)

Can someone please let me know why these two don't give me the same
results?

Thanks a lot

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