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st: xtabond2: predict, residuals difference


From   <ANDREA.LAMORGESE@bancaditalia.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtabond2: predict, residuals difference
Date   Wed, 15 Jul 2009 12:03:10 +0200

I am using the xtabond2 coming with stata 9.1 and it differs form the
one described in your paper "How to do xtabond2 ..." in some respects.

In particular, the postestimation command predict xx, residuals does not
admit the option difference.

I am estimating a difference GMM though, 

xtabond2 lc lc_l1  _Iy* _Iar* _Iq* _Is* d_lcity d_unempl dyl_oth eta
eta2, twostep gmm(lc,lag(4 .) passthru)  nomata noleveleq

where I have lagged the dependent variable on my own, and I mean to
include lags of the levels of the dependent variable starting from lag
4, that is lag 4, lag 5, lag 6 ...

so I was wondering whether the residuals are not already coming out of
the estimation as differences, since all variables but the instruments
are differenced in my  difference GMM.

Thank you very much. Andrea


 

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Andrea Lamorgese
Research Department
Banca d'Italia
Via Nazionale 91, 00184 Roma
phone: +39 06 4792 4169
fax:   +39 06 4792 5519
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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