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Re: st: arellano-bond


From   "David M. Drukker" <ddrukker@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: arellano-bond
Date   Mon, 30 Jan 2006 08:01:13 -0600 (CST)

murali n.v <muralinv2001@yahoo.co.in> wrote that

When I run the one-step method(see below for the
code),I am getting the result without dropping any
variable or dummies.But when I am doing the
two-step(see below for code),it is droping most of the
time dummies as well as the lagged dependent variable
appearing in the RHS.

ONE_STEP
xtabond  lny  dum74 dum75 dum76 dum77 dum78 dum79
dum80 dum81 dum82 dum83 dum84 dum85 dum86 dum87 dum88
dum89 dum90 dum91 dum92 dum93 dum94 dum95  dum96 dum97
dum98 dum99 , noconstant diffvars( lny70 sch70)
lags(3) pre(pop gcf trade,  lagstruct(2,2)) robust
artests(2)

TWO-STEP
xtabond  lny  dum74 dum75 dum76 dum77 dum78 dum79
dum80 dum81 dum82 dum83 dum84 dum85 dum86 dum87 dum88
dum89 dum90 dum91 dum92 dum93 dum94 dum95  dum96 dum97
dum98 dum99 , diffvars( lny70 sch70) lags(3) pre(pop
gcf trade,  lagstruct(2,2))  artests(2) twostep

I suspect that specifying the -noconstant- option in the one-step code but
not the two-step code is causing the differences.

	David
	ddrukker@stata.com

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