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st: modification to "xtabond"

From   Li Zeng <[email protected]>
To   statalist <[email protected]>
Subject   st: modification to "xtabond"
Date   Mon, 27 Oct 2003 13:44:27 -0500

Dear all,

My question is about dynamic panel data. I know that we have a command 
"xtabond" in Stata, where the first step is to take 1st order difference, and 
the 2nd step is to run IV regression (GMM).

However, in the regression I am going to run, there is a forward term (or lead 
term, i.e. with subindex t+1) on the right hand side. So in the first step, 
instead of 1st order differencing, what I want to apply is a trick called 
"forward differecing" (which I know how to do). And then I want to use the 2nd 
step of the command "xtabond".

I am not sure how to do this. Can I use just part of "xtabond", or I will have 
to write a program to solve the GMM problem of the 2nd step?

Thanks a lot.

Li Zeng

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