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st: xtabond and long-run effect


From   Wolf Katja <Katja.Wolf@iab.de>
To   "'Statalist@hsphsun2.harvard.edu'" <Statalist@hsphsun2.harvard.edu>
Subject   st: xtabond and long-run effect
Date   Wed, 27 Oct 2004 09:42:31 +0200

Dear Stata users,

I am using xtabond to estimate a ADL(3,3) model. To test the null hypothesis that the long-run effect of one of my explanatory variables is zero, I use:

testnl 0=(_b[d.x]+_b[ld.x]+_b[l2d.x]+_b[l3d.x])/(1-_b[ld.y]-_b[l2d.y]-_b[l3d.y])

Now my question - should I do this test after xtabond onestep, onestep robust or twostep? 
Could someone help?

Thanks
Katja

Katja Wolf
Institute for Employment Research
Regensburger Str. 104
90478 Nürnberg
Tel.: +49-911/179-4806
e-mail: katja.wolf@iab.de


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