You need to add an h(2) option to -xtabond2-. The following
will produce the same point estimates:
webuse abdata, clear
xtabond2 n L.n, gmm(n, laglimits(2 .)) small h(2)
xtdpd n L.n, dgmm(n, lagrange(2 .)) lgmm(n, lag(1))
The standard errors are still different though. Does anybody
know why?
Julian
---- Original message ----
>From John Bates <[email protected]>
>To Stata <[email protected]>
>Subject st: xtdpd vs. xtabond2 discrepancy
>Date Tue, 5 Jan 2010 11:22:44 -0800 (PST)
>
> 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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