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RE: st: discrepancy xtdpd vs xtabond2


From   "David Roodman (droodman@cgdev.org)" <DRoodman@cgdev.org>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: discrepancy xtdpd vs xtabond2
Date   Sun, 19 Sep 2010 12:53:57 +0000

Building on the example I posted before, Stata's built-in -gmm- command agrees with -xtabond2- and DPD for Ox and disagrees with -xtdpd-. Try:

xtabond2 n w, gmm(w k, l(2 2)) nolevel

xtdpd n w, dgmmiv(w k, l(2 2)) nocons

gmm (D.n - {rho}*D.w)  xtinstruments(w k, lags(2/2)) instruments(, nocons) deriv(1/rho = -1*D.w) winitial(xt D) onestep vce(unadjusted) variables(w)

--David

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