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st: Xtabond2 / System GMM Query

From   "Robert William Scott" <>
Subject   st: Xtabond2 / System GMM Query
Date   Fri, 19 May 2006 15:27:53 +0100

Dear Statalisters,

Having exhausted all available online sources of help, I appeal for the assistance of Stata users familiar with xtabond2.

When estimating a system GMM for dynamic panel data using xtabond2, it is unclear/ambiguous whether the parameters of the country dummies/country-specific fixed effects should be estimated.

Whilst country dummies are removed in the difference regression, they are included in the level regression. 

It is unclear whether their coefficients are calculated (automatically) by Stata in xtabond2, and if so, how may this data be extracted.

Can anybody offer any assistance?

Looking forward to any response!

Yours faithfully,
Robert Scott, B.A., M.Phil
Ph.D. Student
Department of Economics
Adam Smith Building
University of Glasgow

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