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st: Error using diffvars() in -xtabond-


From   Misha Spisok <misha.spisok@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Error using diffvars() in -xtabond-
Date   Mon, 7 Jun 2010 17:29:52 -0700

Hello, Statalist,

I am encountering an error when attempting to use diffvars with
-xtabond-.  For example,

. webuse abdata
. xtabond n l(0/1).w l(0/2).(k ys), diffvars(yr1980-yr1984) lags(2)

diffvars() may not be specified when performing system estimation
r(498);

With respect to the error message, I notice that the documentation for
-xtabond2- includes a noleveleq option for difference GMM rather than
system GMM (i.e., not including the equation in levels).  However, I
cannot find a similar option in -xtabond-.  Is this the nature of the
error?  If so, how can I specify this in -xtabond-?

Is this in inappropriate use of 'diffvars()' (as opposed to simply one
that "merely" produces an error)?
If this is inappropriate, is there a way of including a year dummy
without using differences of year dummies as instruments?  Or is this
just plain inappropriate in this context?
If it is appropriate, how how can one include year dummies without
using differences of year dummies as instruments?

Thank you for your time and attention.

Best,

Misha
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