thanks a lot for your answer.
However, I'd like to run a fixed effects-estimation and xtabond is,
at least as far as I have understood, a random effects-estimator.
Any idea how to proceed in this case?
Drop the notion of the fixed effects estimator. It does not make sense
in a dynamic context (for good reason, as any paper underlying the
Arellano-Bond approach indicates) as an OLS technique is unable to cope
with the correlation between the demeaned LDV and the demeaned error
process. (You would run into the same trouble if you did the XTREG,FE
'by hand' with firm dummies, or with 'areg'). An excellent guide to the
DPD estimators is provided in Steve Bond's ``Dynamic panel data models:
a guide to microdata methods and practice", available from EconPapers
(CeMMAP working paper 09/02 at Institute for Fiscal Studies):
I don't see that in the presence of a LDV that you can successfully