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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