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st: Dialog box for -xtabond- (v10)
The dialog box for constructing an -xtabond- command
(Statistics/Longitudinal/Dynamic/Arellano-Bond) does not allow the
option 'robust' with 'twostep', but when typing the option in the
command window it works. Is this a bug, or am I missing something? I
first used the menu and it took me a while to figure out that I could
actually use 'robust' with two-step -xtabond- and the differences were
huge (see the below).
. xtabond ly l(0/3).d ddly1, twostep
Arellano-Bond dynamic panel-data estimation Number of obs = 311
Group variable: i Number of groups = 35
Time variable: t
Obs per group: min = 6
avg = 8.885714
max = 9
Number of instruments = 69 Wald chi2(6) = 355312.04
Prob > chi2 = 0.0000
Two-step results
------------------------------------------------------------------------------
ly | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ly |
L1. | 1.005015 .002956 340.00 0.000 .9992217 1.010809
d |
--. | .0143256 .0039136 3.66 0.000 .0066552 .021996
L1. | .0149509 .0045258 3.30 0.001 .0060806 .0238213
L2. | .0161311 .0039171 4.12 0.000 .0084537 .0238084
L3. | .0118087 .0032622 3.62 0.000 .0054149 .0182024
ddly1 | -.3429313 .052087 -6.58 0.000 -.44502 -.2408426
_cons | -.014608 .013173 -1.11 0.267 -.0404266 .0112107
------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard
errors are recommended.
Instruments for differenced equation
GMM-type: L(2/.).ly
Standard: D.d LD.d L2D.d L3D.d D.ddly1
Instruments for level equation
Standard: _cons
. xtabond ly l(0/3).d ddly1, twostep robust
Arellano-Bond dynamic panel-data estimation Number of obs = 311
Group variable: i Number of groups = 35
Time variable: t
Obs per group: min = 6
avg = 8.885714
max = 9
Number of instruments = 69 Wald chi2(6) = 138.89
Prob > chi2 = 0.0000
Two-step results
------------------------------------------------------------------------------
| WC-Robust
ly | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ly |
L1. | 1.005015 8.075263 0.12 0.901 -14.82221 16.83224
d |
--. | .0143256 .7926246 0.02 0.986 -1.53919 1.567841
L1. | .0149509 .5463303 0.03 0.978 -1.055837 1.085739
L2. | .0161311 .7906487 0.02 0.984 -1.533512 1.565774
L3. | .0118087 1.094165 0.01 0.991 -2.132715 2.156332
ddly1 | -.3429313 6.216911 -0.06 0.956 -12.52785 11.84199
_cons | -.014608 36.06646 -0.00 1.000 -70.70357 70.67436
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/.).ly
Standard: D.d LD.d L2D.d L3D.d D.ddly1
Instruments for level equation
Standard: _cons
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