Dear Statalisters:
I am estimating a dynamic panel using the difference and the system GMM
estimators. However, the results tell that there are 50 more
observations for the System GMM than for the Difference GMM, why is this
happening? I cannot find the mistake that makes the number of
observations increase for the system estimator, this should not occur.
The following is the syntax of my estimation
Difference GMM:
xtabond2 depvar l.depvar l(0/1).( strictlyexogvars endogvars) if
year>1974, robust gmm(depvar endogvars, lag(2 9)) iv(strictlyexogvars,
eq(diff) passthru) iv( D.strictlyexogvars, eq(level) passthru) noleveleq
system GMM:
xtabond2 depvar l.depvar l(0/1).( strictlyexogvars endogvars) if
year>1974, robust gmm(depvar endogvars, lag(2 9)) iv(strictlyexogvars,
eq(diff) passthru) iv( D.strictlyexogvars, eq(level) passthru)
Notice that the only difference between the two, is that the former has
the noleveleq option so that the additional moments for the computation
of the system GMM are ignored in order to just compute the difference
GMM estimator.
What is going wrong? Could anybody help me please.
Thanks,
Leopoldo
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