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st: dynamic panel data model using Arellano-Bond.


From   "aha teddy" <ahatidy@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: dynamic panel data model using Arellano-Bond.
Date   Sat, 11 Jun 2005 08:27:25 +0000

Hi,

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.lb, 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(l2.lb) as instrument for me automaticially rather than I specify it (l2.lb).

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

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