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st: dynamic panel data model using Arellano-Bond.

From   "aha teddy" <[email protected]>
To   [email protected]
Subject   st: dynamic panel data model using Arellano-Bond.
Date   Mon, 13 Jun 2005 23:29:07 +0000


I got a problem with Stata 8 when I estimate a dynamci panel data model using Arellano-Bond.

here is the model:

Leverageb=c+(1-alpha)*lag(leverageb)+ c1*ndtsd +c2*profit+ c3*size+c4*tang+ c5*growthm (1)

Where leverageb is the leverage ratio using book value, lb is the lagged leverageb

In Stata 8, first, I generate a lagged variable, lb, for the leverageb, then I just specify lreveageb as the dependent variable, and independent variables are: ndtsd profit size tang growthm, and the instrument variables are:, l2.ndtsd, l2.profit, l2.size, l2.tang, l2.growthm, then I click ok, is it right or not?
The command shows:
xtabond leverageb tang profit size growthm ndtsd, lags(1) inst( l2.profit l2.size l2.tang l2.growthm l2.ndtsd) artests(2)

Am I right? I am really confused because I don't know whether the Stata will run the first difference and use the lag(2) of the lagged dependent variable( as instrument for me automaticially rather than I specify it (

Can anyone tell me about the sth about this? Thank you very much!


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