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st: RE: xtabond2 with time-fixed effects


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtabond2 with time-fixed effects
Date   Mon, 6 Jun 2011 16:59:49 +0100

-xtabond2- is user-written and at most version 9 and does not support factor variables. Try calling it under -xi:- or generate the indicators (dummies) beforehand. 

Nick 
n.j.cox@durham.ac.uk 

lreine ycenna

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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