Hi,
I get different answers when using -xtdpd- vs. -xtabond2- for System GMM. First, I show that this is not a problem for difference GMM:
webuse abdata, clear
* The three commands below all produce identical estimates for difference GMM
xtabond n, lags(1) noconst
xtabond2 n L.n, gmm(n, laglimits(2 .)) nolevel small
xtdpd n L.n, dgmm(n, lagrange(2 .)) noconstant
But, when I do system GMM I get different answers:
xtabond2 n L.n, gmm(n, laglimits(2 .)) small
xtdpd n L.n, dgmm(n, lagrange(2 .)) lgmm(n, lag(1))
(I get different answers regardless of whether or not I specify the noconstant option.) Note that in the system GMM example, both commands report they are using 36 instruments and, in particular, report that they are using the exact same instruments for both the levels and difference equations. In this simple example the answers only differ at the second decimal point, but I've run other (more complicated) variations that have much larger differences (>20%). For example:
xtabond2 n L.n w ys k, gmm(n, laglimits(2 .)) iv(w ys k) small
xtdpd n L.n w ys k, dgmm(n, lagrange(2 .)) lgmm(n, lag(1)) iv(w ys k)
What accounts for these differences? I don't know which command's output to use. I am running the latest update of Stata 11 and have the latest version of -xtabond2- (2.8.2).
Thanks,
John
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