Hi all,
I thought that the following 2 commands should be
equivalent, but they are not. Can anyone point out
where I am going wrong, or what an equivalent
specification would be?
.xtabond depvar size if date<120, lags(1) maxldep(4)
maxlags(4) pre(a b c, lagstruct(0,4)) pre(d,
lagstruct(0,4) endogenous) robust artests(2)
noconstant
and
.xtabond2 depvar size a b c d if date<120,
gmm(l.depvar a b c d, lag(0 4)) robust noleveleq
or as another example including time dummies as
instruments:
.xtabond depvar size if date<120, inst(time1-time30)
lags(1) maxldep(4) maxlags(4) pre(a b c,
lagstruct(0,4)) pre(d, lagstruct(0,4) endogenous)
robust artests(2) noconstant
and
.xtabond2 depvar size a b c d if date<120,
gmm(l.depvar a b c d, lag(0 4)) iv(time1-time30)
robust noleveleq
Lastly are the "twostep" options under xtabond and
xtabond2 equivalent?
(I am using an unbalanced panel, in case that is
relevant).
Also, in a posting this morning headed "xtabond2
specification", Crystal Lopez asked some questions
which is very close to some issues that I have been
(unsuccessfully) grappling with, in case anyone was
thinking of replying, I would also be very interested
in the response to that posting!
best regards,
Janine
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