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st: xtabond, xtabond2 & missing values

From   Margit Averdijk <[email protected]>
To   <[email protected]>
Subject   st: xtabond, xtabond2 & missing values
Date   Thu, 21 Jan 2010 21:05:26 +0000

Dear Statalisters,

I am estimating Arellano-Bond models on an unbalanced dataset, and compared output from xtabond and xtabond2. I used the following commands:

xtabond  Y            time, twostep robust nocons lag(1)
xtabond2 Y            l.Y time, twostep robust gmmstyle(Y, laglimits(2 .)) iv(time) noleveleq

I expected these two commands to give the same results, but they differ somewhat. I understood that xtabond2 replaces missings with zero's, while xtabond does not, and that this may produce the difference in results. Is there any way to prevent xtabond2 from replacing the missings by zero's?
Moreover, from a Statalist-post in 2006 I understood that xtabond2, but not xtabond, might have problems with gaps in panel data. Does anyone know whether this is indeed the case?

Many thanks in advance,

Best wishes,
Margit Averdijk
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