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Re: st: xtabond2 with time-fixed effects


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: xtabond2 with time-fixed effects
Date   Mon, 06 Jun 2011 11:15:08 -0500

I don't use xtabond2, but can't you just create dummy variables for year yourself? Or use xi: if xtabond2 supports it.

At 10:05 AM 6/6/2011, lreine ycenna wrote:
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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