Dear Yontcheva Boriana,
I think results differ because xtabond2 drop constant term. Try
xtabond y x1...x4 time dummies, lag(1) noconst
xtabond2 y L.y x1..x4 time dummies, noleveleq ivstyle(x1-x4 time dummies, passthru) gmmstyle(L.y)
I've successfully replicated xtabond results trough xtabond2 but, as I don't have my results saved at University, I'm not sure at 100% about this procedure. If this specification is not the correct one, tomorrow I'll give you a more appropriate suggestion.
Bye
Andrea Sisto
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