Hi all,
I'm new to stata and statlist. I have been trying to replicate results
obtained through using xtabond command with the xtabond2 command, by
using the "noleveleq" option. I thought this option makes xtabond2 give
a first difference estimator equivalent to the Arellano Bond estimator
obtained by using the xtabond command.
My model is as follows: y= y(t-1) + x(t) + time dummies + individual
effects+ time varying error term.
Where x(t) are strictly exogenous variables.
In order to estimate this through Arellano Bond I use the following
command:
xtabond y x1...x4 time dummies, lag(1)
In order to estimate it through xtabond2 I use the following command
with the noleveleq option:
xtabond2 y L.y x1..x4 time dummies, noleveleq ivstyle(x1-x4 time
dummies, passthru) gmmstyle(L.ed)
Can someone please let me know why these two don't give me the same
results?
Thanks a lot
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