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st: Anderson-Hsiao, ivreg and xtabond2


From   Bernardo Schettini <bernardo.schettini@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Anderson-Hsiao, ivreg and xtabond2
Date   Fri, 17 Jun 2011 11:18:04 -0300

Good morning, Statalisters.

I am trying to estimate a simple autorregressive panel data model
using the Anderson-Hsiao estimator via ivreg. The command line is:
ivreg d.y (ld.y=l2.y), noconstant. I imagined I would obtain the same
result with xtabond2 writing: xtabond2 y l.y, gmm(l.y, laglimits(1
1)), noconstant noleveleq. It happens the results differ a lot.

Could anyone help me figure out why the results "ivreg d.y
(ld.y=l2.y), noconstant" differ from those of "xtabond2 y l.y,
gmm(l.y, laglimits(1 1)), noconstant noleveleq"?

Thanks a lot.

Bernardo

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