I have revised xtabond2 (and reposted to SSC) a number of times since the program was released last November. Most of the changes added features or fixed bugs that would cause crashes in unusual situations. However, two recent updates fixed bugs that can lead to wrong results.
So I *strongly recommend* downloading the latest version now by typing "ssc install xtabond2, replace". And I apologize for these bugs.
New features:
1. There is now an arlevels option to apply the Arellano-Bond AR() test to the levels residuals instead of the first-difference residuals-appropriate only in system estimation.
2. The gmmstyle() declaration now has an equation() suboption that can suppress the generation of moment conditions for levels equations in system estimation.
More detail is in the help file.
Bug fixes to prevent wrong results:
1. xtabond2 no longer ignores gmmstyle() the laglimits() suboptions when the collapse suboption is also invoked. (Thanks to Fabio Schiantarelli.)
2. In system estimation, xtabond2 now generates "GMM-style" moment conditions for the levels equations even for time periods that have no complete observations in first differences. (Thanks to Tue Gorgens.)
3. In system estimation, in "IV-style" instruments, xtabond2 sometimes put first differences of the instruments in the rows for the levels equations. It no longer does. (Thanks to Tue Gorgens.)
--David
David Roodman
Research Fellow
Center for Global Development
1776 Massachusetts Ave. NW
Suite 301
Washington, DC 20036
voice: +1-202-416-0723
fax: +1-202-416-0750
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
