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st: Need Help for dynamic panel data model (Arellano-Bond)

From   "aha teddy" <[email protected]>
To   [email protected]
Subject   st: Need Help for dynamic panel data model (Arellano-Bond)
Date   Wed, 20 Jul 2005 02:04:22 +0000

Hi all,

At present, I am learning the Dynamic panel data model (Arellano-Bond linear, dynamic panel data estimator).

Here is the my unbalanced panel:

Y= l.Y X1 X2 X3

I estimate the dynamic panel data model by using both Stata 8.0 and Eviews 5.1. However, they give me significantly different results. So, I think I must be wrong somewhere with one of the two packages.

I want use all the lags of variables(y, x1 x2 x3) from the second order as the instruments, How can specify these variables in the Stata 8.0?

In Stata 8.0, I specify Y as the dependent variable, X1 X2 X3 as the independent variables. And I just leave the �exogenous variables� and �instrument variables� blank, and I don�t know how to specify the instrument variables. Am I right? I am a beginner! Could anyone help me?



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