Hi,
Some suggestions on the original message:
(1) There is a change in syntax between xtabond in versions 9 and 10. The latter is more close to xtabond2. You must read the new changes if you are using version 10.
(2) Run a simple model to understand what is behind your data. Something like -xtreg, fe- will help you in terms of parameters and specification (# of lags of the dependent variable, lags of exogenous, and so on). Do not worry to much on the bias of FE+Lag Dependent Variable, you are trying to get some experience on the data, with that you will be able to "deal with" the Sargan complication in the Arellano-Bond framework.
(3) Having unbalanced data is an empirical complication for these models. Both xtabond and xtabond2 deal with the problem, but the theoretical result is more complex. Empirically, I could say that: (i) the harmonic average of time is much more "accurate" measurement of unbalancedness than simple average, and (ii) the ratio T/N is important, for a "large" T (or harmonic average one) it is good to cut off the number of lags used in xtabond procedure in order to reduce the finite-sample bias of GMM procedure.
I hope this helps you.
Rodrigo.
-----Mensaje original-----
I think is better to use
xtabond2 command
I have estimated a similar model using xtanbon2 command
Example:
xtabond2 depvar depvar_1 indepvar1 indepvar2, gmm(depvar_1 , lag(2 3))
iv(indepvar1) small
In adition you can include the noleveleq option
I hope this helps
In�s
> Dear Statalists,
>
> I am trying to estimate a dynamic growth regression with both
> endogenous and predetermined variables.
>
> gdp(t) = (1+b)gdp(t-1) + X(t-1) + fe + e(t)
>
> Being a beginner in stata I was wondering if you could help me with
> the following two questions:
>
> 1.) To use difference GMM I use the following command
>
> xtabond gdp, endogenous(x....) pre(lprimary lseconday ltertiary)
>
> where the latter referes to lagged education attainment rates and x
> for population growth, say.
>
> With this specification I do not seem to pass the Sargan test and was
> wondering if anyone has a suggestion as to how to reformulate the
> command to increase my chances of passing the test.
>
> 2) My panel (N=89 T=9) is unbalanced. How does xtabond accounts for
> that / how do I adjust my estimators to use the entire dataset without
> having to drop unbalanced observations.
>
> many thanks in advance!
> --
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