Vicente said
I think you=C2=B4ll need to create dummy variables for that.
I think that with gmm/xtabond2 and tsset command you will have the time
effects already managed by stata but will still need dummies to deal
with other kind of effects.
I=C2=B4m also a beginner but I think this is the way to go on.
BACKWARDS. xtabond(2) automatically includes firm/country effects,
but does NOT include time effects.
In any case the DPD / Arellano-Bond estimator should not be employed
with large T (that is, T large relative to N), and is only
appropriate if you have a lagged dependent variable in the model.
See the Panel Data chapter of my book, cited below.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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