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st: Already Differenced Variables in xtabond2


From   "LACHENMAIER" <LACHENMAIER@ifo.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Already Differenced Variables in xtabond2
Date   Tue, 8 Nov 2005 16:18:46 +0100

Hi Statalist Members,

I am currently starting to work with xtabond2 (and xtabond). As some
other Statalist members already did, I am currently trying to reproduce
xtabond results with xtabond2. For "simple" regressions this works fine,
but as soon as I want to introduce already differenced variables I get
different results with the different commands.

My regression in a xtabond command line:
xtabond y x1 x2 x3, nocons diff(x4 x5)

How do I translate this into xtabond2?
According to the xtabond2 help and some suggestions here in Statalist
Archive I tried

xtabond2 y l.y x1 x2 x3 x4 x5, iv(x1 x2 x3) iv(x4 x5, passthru) gmm(l.y)
noleveleq

But the results differ quite a lot. My original dataset is an unbalanced
panel, where I learned that these differences can occur, but they also
appear if I restrict my panel dataset to a balanced panel.

I would really appreciate any help. Thanks a lot!

Best,

Stefan Lachenmaier


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