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st: Collapse in Gmm


From   "21443017" <[email protected]>
To   <[email protected]>
Subject   st: Collapse in Gmm
Date   Wed, 5 Aug 2009 09:54:28 +0100

Dear All,

I am using -xtabond2- to run GMM-estimation. Below is the code I used


xi:xtabond2 y L.y x1  x2 x3 i.industry i.year, gmmstyle (y x1 x2 x3, lag(3
5) collapse) ivstyle(i.industry  i.year)  twostep robust small


However, I also tried 

xi:xtabond2 y L.y x1  x2 x3 i.industry i.year, gmmstyle (y x1 x2 x3, lag(3
5)) ivstyle(i.industry  i.year)  twostep robust small

Although the results are quite consistent, I was just wondering why the
results are different from including the -collaspe- and not.


Many Thanks

Best Wishes 

Wenwen


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