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st: Anderson-Hsiao, ivreg and xtabond2
From
Bernardo Schettini <[email protected]>
To
[email protected]
Subject
st: Anderson-Hsiao, ivreg and xtabond2
Date
Fri, 17 Jun 2011 11:18:04 -0300
Good morning, Statalisters.
I am trying to estimate a simple autorregressive panel data model
using the Anderson-Hsiao estimator via ivreg. The command line is:
ivreg d.y (ld.y=l2.y), noconstant. I imagined I would obtain the same
result with xtabond2 writing: xtabond2 y l.y, gmm(l.y, laglimits(1
1)), noconstant noleveleq. It happens the results differ a lot.
Could anyone help me figure out why the results "ivreg d.y
(ld.y=l2.y), noconstant" differ from those of "xtabond2 y l.y,
gmm(l.y, laglimits(1 1)), noconstant noleveleq"?
Thanks a lot.
Bernardo
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