Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: dynamic panel data model using Arellano-Bond.

From   "aha teddy" <>
Subject   st: dynamic panel data model using Arellano-Bond.
Date   Sat, 11 Jun 2005 08:27:25 +0000


I got a problem with Stata 8 when I estimate a dynamci panel data model using Arellano-Bond.

here is the model:

Leverageb=c+(1-alpha)*lag(leverageb)+ c1*ndtsd +c2*profit+ c3*size+c4*tang+ c5*growthm (1)

Where leverageb is the leverage ratio using book value, lb is the lagged leverageb

In Stata 8, first, I generate a lagged variable, lb, for the leverageb, then I just specify lreveageb as the dependent variable, and independent variables are: ndtsd profit size tang growthm, and the instrument variables are:, l2.ndtsd, l2.profit, l2.size, l2.tang, l2.growthm, then I click ok, is it right or not? I am really confused because I don't know whether the Stata will run the first difference and use the lag(2) of the lagged dependent variable( as instrument for me automaticially rather than I specify it (

The command shows:
xtabond leverageb tang profit size growthm ndtsd, lags(1) inst( l2.profit l2.size l2.tang l2.growthm l2.ndtsd) artests(2)

享用世界上最大的电子邮件系统— MSN Hotmail。
* For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index