Jeremy T. Fox <[email protected]> asked whether the Stata command
-xtabond- imposed the extra moment conditions available when the covariates
x_it are assumed to be orthogonal to the individual level effect nu_i in a
dynamic panel data model. The answer is ``no". The manual will be updated
to clarify this point and to note that this fixed-effects estimator is
consistent but not efficient when the effects are orthogonal to the x_it.
David
[email protected]
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