> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Janine Darfield
> Sent: Monday, June 05, 2006 11:03 AM
> To: [email protected]
> Subject: st: xtabond/xtabond2 equivalent specification
>
> Hi all,
>
> I thought that the following 2 commands should be equivalent,
> but they are not. Can anyone point out where I am going
> wrong, or what an equivalent specification would be?
>
> .xtabond depvar size if date<120, lags(1) maxldep(4)
> maxlags(4) pre(a b c, lagstruct(0,4)) pre(d,
> lagstruct(0,4) endogenous) robust artests(2) noconstant and
> .xtabond2 depvar size a b c d if date<120, gmm(l.depvar a b c
> d, lag(0 4)) robust noleveleq
There are at least three differences.
First, d is endogenous in your xtabond command, but predetermined in
your xtabond2 command. If you want xtabond2 to treat d as endogenous,
you should replace gmm(l.depvar a b c d, lag(0 4)) with gmm(l.depvar a
b c l.d, lag(0 4)).
Second, you need to include l.depvar in the list of regressors in your
xtabond2 command.
Third, you need to tell xtabond2 that size is exogenous.
The resulting xtabond2 command is:
.xtabond2 depvar l.depvar size a b c d if date<120, iv(size)
gmm(l.depvar a b c l.d, lag(0 4)) robust noleveleq
Jean Salvati
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