st: xtabond - Time dummy

["Rafael Terra de Menezes" <rflterra@hotmail.com>]

Dear Stata users,

I'm estimating a model using xtabond. The command I tried was as folows:
xtabond lny lnx1 lnx2 lnx3 Timedummy dummy2 dummy3,  lags(1) artests(2) 
robust

I woul like to know the right way to include dummies in this case. Should I 
treat them as exogenous (already differenced) and type xtabond lny lnx1 lnx2 
lnx3, lags(1) diffvars(Timedummy dummy2 dummy3) artests(2) robust? Or the 
first way is the right one?
Note: The time dummy I'm using is 0 from 1995 to 2000 and 1 from 2001 to  
2004.

Thanks,

Rafael Terra
University of Sao Paulo
Brazil


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