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st: xtabond2 syntax


From   "Aditi Bhattacharyya" <aditibhattacharyya@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 syntax
Date   Mon, 10 Dec 2007 01:09:22 -0800

Dear All,

I have a question regarding the xtabond2 syntax. In my model, y(it) is
the dependent variable that depends on y(i, t-1), x(it) and
yeardummies where x(it) is strictly exogenous. While performing
Blundell and Bond system GMM, should I specify (in the iv() option)
lagged exogeneous variable as the instrument in the difference
equation, and difference of lagged exogenous variable for the level
equation, or stata does it itself as long as I just specify
gmm(y(i,t-1)) iv(x(it) yeardummies)? Also, please let me know whether
yeardummies are needed to be specified in the iv() option for both the
difference and the level equation?

It will be really helpful if somebody clarifies these questions to me.

Thanks,
Aditi
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