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st: xtabond2 - variables in level


From   Tomasz Boniek <tboniek@studbocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 - variables in level
Date   Sun, 06 Apr 2008 23:46:56 +0200

Hi,

I have a problem with xtabond2. Suppose I run the following:

xtabond2 ln_tfp L.ln_tfp L.rents yr*, gmm(L.ln_tfp L.rents, lag(2 3)) iv(yr*) robust noleveleq small

where yr* are a series of year dummies and the economic meaning of the other variable is irrelevant for my question.

In this case, if I'm not wrong, I will estimate a one-step difference GMM. All the variables in this case will be in first difference. My question is:
Is there a way to avoid differentiation of the variable L.rents? I would like to use as a regressors (treating it as endogenous) not the first difference lagged one period (i.e. rents(t-1)-rents(t-2)) but just the lagged level (i.e. rents(t-1)). Is there a way to do that in Stata?

Thanks for the help,

Tomasz Boniek

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