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st: re: xtabond question


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: xtabond question
Date   Wed, 13 Apr 2005 20:09:17 -0400

Kevin said

As an aside, does anyone know of a basic level explanation of the benefits
to using xtabond2 v. xtabond?

The xtabond2 help files does a pretty good job of it. One can use .2 to do GMM-SYS (Blundell-Bond) as well as original Arellano-Bond. The syntax of .2 is more flexible: there is an example in Greene's Econometrics text which cannot be est by xtabond, but can be est with xtabond2. And .2 does the "Windmiejer correction", without which two-stage results are generally junk in terms of inference. Every other package that does DPD provides Windmeijer.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

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