st: Re: Fwd: xtabond2 with static model?

[Roberto Steri <robystr@yahoo.it>]

Agnes,

why don't you simply use xtivreg with fixed effects and specify as
instruments the same ones included by xtabond/xtabond2 (if you believe/have
evidence that they are valid)? 

In particular, if you are using xtabond2 with the option nolevel (in order
to implement Arellano-Bond's difference GMM estimator), you might start
including lagged values (in levels) for your RHS variables as instruments in
xtivreg (usually the inclusion of further lags doesn't affect estimates to a
great extent, but you should check this).

Since you are dealing with a static panel, if xtabond2 can be properly used
for static panels too you should obtain the same estimates (if you include
the same instruments).

Hope this helps,
Roberto


-----
Roberto Steri
Department of Finance
Bocconi University
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