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st: xtabond - Time dummy


From   "Rafael Terra de Menezes" <rflterra@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond - Time dummy
Date   Tue, 17 Jan 2006 04:11:59 -0200

Dear Stata users,

I'm estimating a model using xtabond. The command I tried was as folows:
xtabond lny lnx1 lnx2 lnx3 Timedummy dummy2 dummy3, lags(1) artests(2) robust

I woul like to know the right way to include dummies in this case. Should I treat them as exogenous (already differenced) and type xtabond lny lnx1 lnx2 lnx3, lags(1) diffvars(Timedummy dummy2 dummy3) artests(2) robust? Or the first way is the right one?
Note: The time dummy I'm using is 0 from 1995 to 2000 and 1 from 2001 to 2004.

Thanks,

Rafael Terra
University of Sao Paulo
Brazil


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