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st: xtabond

From   "Caroline Xu" <[email protected]>
To   [email protected]
Subject   st: xtabond
Date   Wed, 19 Apr 2006 16:47:48 -0400


I need some help in understanding xtabond. Here is my model:

Y_{it}=aY_{it-1}+bX_{t-1}+u_i+w_t+v_{it}, where X_{t-1} is predetermined.

To estimate this model using xtabond, I construct my sample as putting
y_t and x_{t-1} in the same row and then run

xtabond Y yr*, pre(X)

Can anyone tell me whether this is the right way to estimate the
model? Should I construct my in the way that have y_t and x_{t-1} in
the same row? I did this because xtabond does not allow "l.X" in pre(
). If this is a wrong practice, please suggest a right one.

Your help is appreciated,


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