I was wondering if anyone has verified the validity of
the results of xtabond2. I have simulated a data and
performed xtabond and xtabond2. The results of xtabond
is very close to my specified vector of parameters in
the simulated data. Unfortunately, this is not the
case for xtabond2. The resulting parameters were
simply far from my specification and also with the
results of xtabond. As far as I know, Blundell and
Bond estimator is better than the Arellano and BOnd
estimator. It seems that there is something wrong with
xtabond2. I know that this is not part of Stata's
functions and that Stata is not liable for it. I hope
that somebody could verify the results of xtabond2
especially that there are a lot of Stata users using
this procedure. If somebody is interested, I could
send my data and the results.
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