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st: xtabond2


From   Kai Kirchesch <[email protected]>
To   [email protected]
Subject   st: xtabond2
Date   Mon, 12 Jan 2004 08:13:30 +0100

Hi,
I was trying to replicate the results obtained by xtabond with the new xtabond2, but did not succeed
For example, using the Arellano-Bond (1991) data, I was thinking that the following commands yield that same results:

webuse abdate, clear
xtabond n l(0/1).w l(0/2)(k ys) yr1980-yr1984, lags(2) noconstant
xtabond2 n l(1/2).n l(0/1).w l(0/2)(k ys) yr1980-yr1984, gmm (l.n w k ys) iv(yr1980-yr1984) noleveleq

Since the following commands yield the same coefficients, I must be somehow wrong on the instruments, I guess:
xtabond n yr1980-yr1984, lags(2) noconstant
xtabond2 n l(1/2).n yr1980-yr1984, gmm (l.n) iv(yr1980-yr1984) noleveleq

However, the standard deviations slightly differ. Does anyone know the reason? In the twostep case, they are equal.
And, as a last question, is there a way to include a constant into the first-difference equation of xtabond2?

Thank you!
Kai

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