|Allen McDowell, StataCorp
I’m puzzled by the command xtabond and how to interpret the following line:
xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2)
The manual is unclear about this. I also don’t understand the output that is displayed. It contains symbols such as LD, L2D, and D1.
Since I suspect that these are time-series operators, I checked the manual for such information but was unable to find anything. Where can I find an explanation of these time-series operators?
For example, the term
means lags 0 through 1 of the variable w. That is, it means the variable w and the variable w lagged 1 period (i.e., w and l.w). The term
means lags 0 through 2 of the variable k and the variable ys, or k, l.k, l2.k, ys, l.ys, and l2.ys.
In general, l.var or l1.var means the first lag of var; l2.var means the second lag of var; and in general, l#.var means the #th lag of var. There are also difference operators (using d.var), leads (f.var), and seasonal differences (s.var).
To summarize, the command above could be expanded to read
xtabond n w l.w k l.k l2.k ys l.ys l2.ys yr1980-yr1984, lags(2)
yr1980-yr1984 is Stata’s common shorthand for a varlist and is equivalent to yr1980 yr1981 yr1982 yr1983 yr1984. Finally, lags(2) means to include the first and second lag of the dependent variable in the model.
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Last updated: 16 November 2022
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