Hi all,
I am applying arellano-bond method in an
unbalanced panel data for 30 time points(1970-1999)
for 14 countries.I am taking 26 time dummies
(discounting four years-due to differencing and taking
lags).When I run the one-step method(see below for the
code),I am getting the result without dropping any
variable or dummies.But when I am doing the
two-step(see below for code),it is droping most of the
time dummies as well as the lagged dependent variable
appearing in the RHS.What can be the likely reason and
how to solve it?(When I droped the time dummies in the
two-step,stata is not droping lagged depndent
variable)
Looking forward hopefully
Murali
ONE_STEP
xtabond lny dum74 dum75 dum76 dum77 dum78 dum79
dum80 dum81 dum82 dum83 dum84 dum85 dum86 dum87 dum88
dum89 dum90 dum91 dum92 dum93 dum94 dum95 dum96 dum97
dum98 dum99 , noconstant diffvars( lny70 sch70)
lags(3) pre(pop gcf trade, lagstruct(2,2)) robust
artests(2)
TWO-STEP
xtabond lny dum74 dum75 dum76 dum77 dum78 dum79
dum80 dum81 dum82 dum83 dum84 dum85 dum86 dum87 dum88
dum89 dum90 dum91 dum92 dum93 dum94 dum95 dum96 dum97
dum98 dum99 , diffvars( lny70 sch70) lags(3) pre(pop
gcf trade, lagstruct(2,2)) artests(2) twostep
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