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RE: st: xtabond: fixed vs. random effects

From   "David M. Drukker, Stata Corp" <[email protected]>
To   [email protected]
Subject   RE: st: xtabond: fixed vs. random effects
Date   Tue, 01 Apr 2003 12:57:56 -0600

Jeremy T. Fox <[email protected]> asked whether the Stata command
-xtabond- imposed the extra moment conditions available when the covariates
x_it are assumed to be orthogonal to the individual level effect nu_i in a
dynamic panel data model.  The answer is ``no".  The manual will be updated
to clarify this point and to note that this fixed-effects estimator is
consistent but not efficient when the effects are orthogonal to the x_it.

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