dear all,
I estimated a dynamic equation:
yt= a +b*y(t-1)+c*xt+et
using xtabond2 (with the nolevel option) and ivreg2 (with the gmm option). I
have used the same number of IVs for the endogenous variables (x is a vector
of endogenous and exogenous variables).
I am aware that the first command implies the adoption of an Arellano- Bond
(difference GMM) estimator, while the other the use of a two-step feasible GMM
estimator. However, I don't understand why I get an estimation sample rather
different for the two commands: the ivreg2 sample is half that of the xtabond2
(4108 vs 8467 obs).
Thank you in advance
Best
Mariarosaria
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