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st: Arellano-Bond


From   <Lucio-Mauro.VINHAS-DE-SOUZA@ec.europa.eu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Arellano-Bond
Date   Wed, 29 Aug 2007 14:10:57 +0200

 Dear All,

As we seem to be in a question-answering mood this afternoon, I am re-sending an earlier message: I am running a panel on STATA (this is a 1997-2006 sample of 980 firms), but...

1) I  seem to be loosing many, many values when I  do the log and lag transformations. Does any of those procedures (especially the lag one) may cause problems with panel data in STATA?

2) I run some base regressions before running a the Arellano-Bond (AB) GMM estimator, my aim. Is the xtreg specification

-xtreg g_loanst g_loanst_l rrc rrc_l assets capt liqu rrc_assets rrc_liqu rrc_capt rrc_l_assets_l rr c_l_liqu_l rrc_l_capt_l tbf_l tde_l reer gdp cpi

where a post l (_l) indicates a lag generated by a formula like 

-gen g_loansc_l = g_loansc[_n-1]

and pre c or g (g-, c-) a difference generated by a formula like 

-g_loanst = log_loanst-log_loanst[_n-1]

equal to the AB formulation below?

-xtabond g_loanst l(0/0).(assets capt liqu gdp reer cpi) l(0/1).(rrc rrc_assets rrc_liqu rrc_capt tde tbf), lags(1)

3) Finally, when I run the AB specification above, I get the error message below

-onestep-naive VCE is not symmetric

Any obvious reason for that?

Best,

Lucio.

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