Dear Brian,
Thanks a lot for your response. I also have another question about the manual--not so much an error but something I think would be very impoortant to include. I understand that one of the critical advantages of the system GMM dynamic panel data estimator (Arellano-Bover/Blundell-Bond) over the difference GMM estimator (Arellano-Bond) is that the former is able to identify the effects of time-invariant explanatory variables, which the latter can not. It is not mentioned anywhere in the description of xtdpd or xtdpdsys how to do this. After asking around, I found out that the additional command -hascons- in the xtdpd line is the way to be able to include time-invariant regressors. However, the description for -hascons- doesn't say so. (However, please do let me know if the above is not a correct representation of -hascons-)
Many thanks!
Hewan
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