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RE: st: Xtabond2 versus xtabond

From   "Yontcheva, Boriana" <[email protected]>
To   <[email protected]>
Subject   RE: st: Xtabond2 versus xtabond
Date   Wed, 18 Aug 2004 18:35:00 -0400

Hi Andrea,
Thanks a lot for your help. We tried what you suggested and got it right
with the Arrelano Bond original data set even though it doesn't quite
work with ours:))

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of sistoand80
Sent: Wednesday, August 18, 2004 9:41 AM
To: statalist
Subject: Re:st: Xtabond2 versus xtabond

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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