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st: RE: xtabond/xtabond2 equivalent specification


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtabond/xtabond2 equivalent specification
Date   Mon, 5 Jun 2006 11:50:03 -0400

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Janine Darfield
> Sent: Monday, June 05, 2006 11:03 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtabond/xtabond2 equivalent specification
> 
> Hi all,
> 
> I thought that the following 2 commands should be equivalent, 
> but they are not. Can anyone point out where I am going 
> wrong, or what an equivalent specification would be?
> 
> .xtabond depvar size if date<120, lags(1) maxldep(4)
> maxlags(4) pre(a b c, lagstruct(0,4)) pre(d,
> lagstruct(0,4) endogenous) robust artests(2) noconstant and
> .xtabond2 depvar size a b c d if date<120, gmm(l.depvar a b c 
> d, lag(0 4)) robust noleveleq

There are at least three differences. 

First, d is endogenous in your xtabond command, but predetermined in
your xtabond2 command. If you want xtabond2 to treat d as endogenous,
you should replace gmm(l.depvar a b c d, lag(0 4)) with  gmm(l.depvar a
b c l.d, lag(0 4)).

Second, you need to include l.depvar in the list of regressors in your
xtabond2 command.

Third, you need to tell xtabond2 that size is exogenous.

The resulting xtabond2 command is:

.xtabond2 depvar l.depvar size a b c d if date<120, iv(size)
gmm(l.depvar a b c l.d, lag(0 4)) robust noleveleq

Jean Salvati


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