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RE: st: Xtabond2 versus xtabond


From   "Yontcheva, Boriana" <BYontcheva@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Xtabond2 versus xtabond
Date   Wed, 18 Aug 2004 18:35:00 -0400

Hi Andrea,
Thanks a lot for your help. We tried what you suggested and got it right
with the Arrelano Bond original data set even though it doesn't quite
work with ours:))
Boriana 
 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of sistoand80
Sent: Wednesday, August 18, 2004 9:41 AM
To: statalist
Subject: Re:st: Xtabond2 versus xtabond


Dear Yontcheva Boriana,
I think results differ because xtabond2 drop constant term. Try

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

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

I've successfully replicated xtabond results trough xtabond2 but, as I
don't have my results saved at University, I'm not sure at 100% about
this procedure. If this specification is not the correct one, tomorrow
I'll give you a more appropriate suggestion.
Bye

Andrea Sisto

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