Dear all,
My question is about dynamic panel data. I know that we have a command
"xtabond" in Stata, where the first step is to take 1st order difference, and
the 2nd step is to run IV regression (GMM).
However, in the regression I am going to run, there is a forward term (or lead
term, i.e. with subindex t+1) on the right hand side. So in the first step,
instead of 1st order differencing, what I want to apply is a trick called
"forward differecing" (which I know how to do). And then I want to use the 2nd
step of the command "xtabond".
I am not sure how to do this. Can I use just part of "xtabond", or I will have
to write a program to solve the GMM problem of the 2nd step?
Thanks a lot.
Sincerely,
Li Zeng
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