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st: xtabond has changed in stata9 and I can't explain why


From   TEWODAJ MOGUES <tmogues@students.wisc.edu>
To   Stata _ <statalist@hsphsun2.harvard.edu>
Subject   st: xtabond has changed in stata9 and I can't explain why
Date   Sun, 21 Aug 2005 16:23:44 -0400

Hi list,

It appears that the dynamic panel data estimator -xtabond- is different 
in Stata8 and Stata9. However, this change is not reflected in 
the "What's new" website for panel data (see 
http://www.stata.com/stata9/more.html#paneldata ). I noticed the 
following change and can only partially make sense of it (and there 
might be other changes too): 

   xtabond var1, pre(var2, lag(prelags , premaxlags )

run in Stata8 gives the same result as 

   xtabond var1, pre(var2, lag(prelags , premaxlags+1 )

run in stata9, as long as prelags is set to 0. However, if we use some 
value other than 0, it is not clear to me how to get the same results 
in the two stata versions. Looking at the help for xtabond in the two 
versions, the help has not changed at all.

So when no further lags of var2 are included in the model, the number 
of lags of var2's levels that Stata8 uses as instruments is (T_i - 
premaxlags), and the number of lagged levels Stata9 uses as instruments 
is (T_i - premaxlags - 1). But this difference, if I am correct, is not 
captured in the respective help viewers. In any case, as soon as we 
include lags of var2 in the equation, I don't see how Stata8 and 
Stata9's xtabonds can be reconciled. It would be great if someone could 
comment on this if they have more insights into how xtabond is working 
in the two versions.

Tewodaj

~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~
Tewodaj Mogues
Dept. of Agricultural and Applied Economics
University of Wisconsin - Madison
427 Lorch St. #317, Taylor Hall
Madison, WI 53706
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