st: extracting fixed effects from xtabond2

["Perdikaki, Olga" <operdikaki@mays.tamu.edu>]

Dear Statalisters,

I am estimating a system GMM for dynamic panel data using xtabond2. It is not clear to me how I can extract the coefficient estimates of the individual fixed effects (u_i). I actually tried to obtain the estimated values of the error component (e_it) and predicted values of the dependent variable (yhat_it) and subtract their sum from the dependent variable (y_it). However, the command predict does not support the option e after xtabond2 so I could not get the estimated values of the error component e_it. Predict supports the option residuals but it is ambiguous whether the result corresponds to the "true residual" (e_it) or the "combined residual" (i.e., e_it+u_i).

Any assistance would be greatly appreciated.

Thank you,

Olga




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