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Re: st: AW: xtdpd syntax v. xtabond2 syntax


From   Johannes Geyer <JGeyer@diw.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: xtdpd syntax v. xtabond2 syntax
Date   Fri, 27 Feb 2009 13:53:26 +0100

Both programs are similar; but they do not share exactly the same syntax. 
If you want them to do the same, you need to control the instrument matrix 
and the type of model "difference" vs. "system". If you ask members of the 
list to help, it is easier if you show us an estimation output. I guess 
the number of instruments differs between your models. xtabond2 defaults 
to the system estimator, and you have to specify -noleveleq-, futhermore, 
you need to include the "l." in your option -gmm()-.

*****************************
webuse abdata, clear
xtabond2  l(0/2).n l(0/1).(w ys) k, gmm(l.n) iv(l(0/1).(w ys) k) noleveleq
xtdpd  l(0/2).n l(0/1).(w ys) k, dgmmiv(n) div(l(0/1).(w ys) k)
****************************


Johannes


owner-statalist@hsphsun2.harvard.edu schrieb am 27/02/2009 09:24:02:

> 
> <> 
> 
> Wait a minute: -xtdpd- is an official Stata command, while -xtabond2- 
comes
> from ssc, right? -xtabond2- is acknowledged in the entry [xt]xtdpd, but 
to
> expect both commands to behave similarly would be asking too much...
> 
> 
> 
> HTH
> Martin
> 
> 
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nola Agha
> Gesendet: Freitag, 27. Februar 2009 02:13
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: xtdpd syntax v. xtabond2 syntax
> 
> Hi Statalisters -
>   I was under the impression that xtdpd was Stata's new version of 
xtabond2.
> If that was true then shouldn't these two statements produce the same
> results?
> 
> 
> xtdpd rpci06 L.rpci06 dpop emprate affilf indf stadnewdum year1-year21,
> dgmmiv
> (rpci06) iv(dpop emprate affilf indf stadnewdum year1-year21) twostep 
vce
> (robust)
> 
> xtabond2 rpci06 L.rpci06 dpop emprate affilf indf stadnewdum 
year1-year21,
> gmm
> (rpci06) iv(dpop emprate affilf indf stadnewdum year1-year21) twostep 
robust
> 
> Yet, I'm getting very different standard errors and coefficients.  Any
> thoughts?
> 
> Thanks,
> Nola
> 
> 
> 
> 
> 
> 
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