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st: xtabond2 with time-fixed effects


From   lreine ycenna <lreine.ycenna@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 with time-fixed effects
Date   Mon, 6 Jun 2011 16:05:59 +0100

Hello,

How do I add time-fixed effects onto xtabond2?

In OLS, it would be regress x y z i.year

In system estimation,

xtabond2 x y z , gmm (x y , lag(2 2)) iv(z)  two small

I've tried to have i.year after z and after small but it tells me that

factor variables not allowed
r(101);

What would be the equivalent function for i.year under xtabond2?
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