Hi Everybody,
I am estimating a dynamic panel with stata command 'xtabond'. I have a question regarding the command specification. Following is given by
-help xtabond command.
xtabond estimates a dynamic panel data model via the Arellano-Bond estimator. Consider the model
y_it = y_(it-1)a_1 + ... + y_(it-p)a_p + x_(it)b_1 + w_(it)b_2 + v_i + e_(it) i={1,...,N}; t={1,...,T_i},
where
the a_1,...,a_p are p parameters to be estimated
x_(it) is a (1 X k_1) vector of strictly exogenous covariates
b_1 is a (1 X k_1) vector of parameters to be estimated
w_(it) is a (1 X k_2) vector of predetermined covariates
b_2 is a (1 X k_2) vector of parameters to be estimated
v_i are the random effects that are independent and identically distributed (iid) over the individuals with variance s_v*s_v
and e_(it) are iid over the whole sample with variance s_e*s_e.
Now, I am specifying the command as:
xi: xtabond y l(0/1).x1 l(0/1).x2 i.time, diffvars(iz1 iz2 iz3) lags(1) robust small artests(1);
In above specification, y is the depvar, x1 and x2 are covariates with their lags. And, z's in diffvars() are strictly exogenous
variables which are already first-differenced (i.e. iz's). My questions are: does xtabond perform the first differencing for all the variables
specified in the command line? Do I need to first-difference the vars in diffvars() first and then specify them in the command line? Do I also need to first difference the y and x's and then specify them in the command line? or I do not need to do any first-differencing before specifying them in the command line - 'xtabond' would do that and estimate?
I would greatly appreciate if someone on the list could answer these questions for me.
Thanks,
Anupam
Anupam Nanda
Ph.D. Candidate in Economics
Univ. of Connecticut,
341, Mansfield Rd., U-63,
Storrs, CT 06269
[email protected]
*
* 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/
