Dear All,
I am using -xtabond2- to run GMM-estimation. Below is the code I used
xi:xtabond2 y L.y x1 x2 x3 i.industry i.year, gmmstyle (y x1 x2 x3, lag(3
5) collapse) ivstyle(i.industry i.year) twostep robust small
However, I also tried
xi:xtabond2 y L.y x1 x2 x3 i.industry i.year, gmmstyle (y x1 x2 x3, lag(3
5)) ivstyle(i.industry i.year) twostep robust small
Although the results are quite consistent, I was just wondering why the
results are different from including the -collaspe- and not.
Many Thanks
Best Wishes
Wenwen
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