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Re:st: Xtabond2 versus xtabond

From   "sistoand80" <[email protected]>
To   "statalist" <[email protected]>
Subject   Re:st: Xtabond2 versus xtabond
Date   Wed, 18 Aug 2004 15:41:10 +0200

Dear Yontcheva Boriana,
I think results differ because xtabond2 drop constant term. Try

xtabond y x1...x4 time dummies, lag(1) noconst

xtabond2 y L.y x1..x4 time dummies,  noleveleq ivstyle(x1-x4 time dummies, passthru) gmmstyle(L.y)

I've successfully replicated xtabond results trough xtabond2 but, as I don't have my results saved at University, I'm not sure at 100% about this procedure. If this specification is not the correct one, tomorrow I'll give you a more appropriate suggestion.

Andrea Sisto

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