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From |
"Brian P. Poi" <bpoi@stata.com> |

To |
Stata List <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Re: Error in stata manual on xtdpd? |

Date |
Wed, 7 Oct 2009 15:50:40 -0500 (CDT) |

On Wed, 7 Oct 2009, Hewan Belay wrote:

Dear Brian,Thanks a lot for your response. I also have another question about themanual--not so much an error but something I think would be veryimpoortant to include. I understand that one of the critical advantagesof the system GMM dynamic panel data estimator(Arellano-Bover/Blundell-Bond) over the difference GMM estimator(Arellano-Bond) is that the former is able to identify the effects oftime-invariant explanatory variables, which the latter can not. It isnot mentioned anywhere in the description of xtdpd or xtdpdsys how to dothis. After asking around, I found out that the additional command-hascons- in the xtdpd line is the way to be able to includetime-invariant regressors. However, the description for -hascons-doesn't say so. (However, please do let me know if the above is not acorrect representation of -hascons-)Many thanks! Hewan

-hascons- in the xtdpd line is the way to be able to includetime-invariant regressors. However, the description for -hascons-

. webuse abdata // make kbar time-invariant . bysort id: gen kbar = sum(k)/_N . by id: replace kbar = kbar[_N] . xtdpdsys n w kbar, lags(1) and . xtdpd n L.n w kbar, div(w kbar) dgmmiv(n, lag(2 .)) /// lgmmiv(n, lag(1)) hascons

-- Brian Poi -- bpoi@stata.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Re: Error in stata manual on xtdpd?***From:*Hewan Belay <hewan_belay@yahoo.com>

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