To recap, jreif's main issue in getting xtdpd and xtabond2 to match was
needing to add an h(2) option to the xtabond2 command line. (There is an
example of this in the How to Do xtabond2 paper, at least the version on
cgdev.org.) But even after adding this, there remained a discrepancy in
the standard errors.
The problem was indeed in xtabond2, and has now been fixed. It only
affected one-step, non-robust, System GMM, which is rare. It was a
vestige of an erroneous formula in DPD for Ox for the variance of the
errors, which I copied years ago. In 2007, David Drukker pointed this
out and I fixed it--but incompletely. "ssc install xtabond2, replace"
should install the latest version. Then these two will match exactly:
webuse abdata
xtdpd n L.n, dgmm(n) lgmm(n)
xtabond2 n l.n, gmm(l.n) h(2) small
--David
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