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From |
John Bates <[email protected]> |

To |
Stata <[email protected]> |

Subject |
st: xtdpd vs. xtabond2 discrepancy |

Date |
Tue, 5 Jan 2010 11:22:44 -0800 (PST) |

Hi, I get different answers when using -xtdpd- vs. -xtabond2- for System GMM. First, I show that this is not a problem for difference GMM: webuse abdata, clear * The three commands below all produce identical estimates for difference GMM xtabond n, lags(1) noconst xtabond2 n L.n, gmm(n, laglimits(2 .)) nolevel small xtdpd n L.n, dgmm(n, lagrange(2 .)) noconstant But, when I do system GMM I get different answers: xtabond2 n L.n, gmm(n, laglimits(2 .)) small xtdpd n L.n, dgmm(n, lagrange(2 .)) lgmm(n, lag(1)) (I get different answers regardless of whether or not I specify the noconstant option.) Note that in the system GMM example, both commands report they are using 36 instruments and, in particular, report that they are using the exact same instruments for both the levels and difference equations. In this simple example the answers only differ at the second decimal point, but I've run other (more complicated) variations that have much larger differences (>20%). For example: xtabond2 n L.n w ys k, gmm(n, laglimits(2 .)) iv(w ys k) small xtdpd n L.n w ys k, dgmm(n, lagrange(2 .)) lgmm(n, lag(1)) iv(w ys k) What accounts for these differences? I don't know which command's output to use. I am running the latest update of Stata 11 and have the latest version of -xtabond2- (2.8.2). Thanks, John * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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