st: xtabond2 estimation and observations used

[webgeeky <webgeeky@gmail.com>]

I've a question regarding the mechanism of xtabond2. I've read Roodman
(2009) in Stata Journal, but there are some aspects that I couldn't
figure out.

I have a balanced dataset that involves 4 time periods. I estimated a
one-step difference GMM using xtabond2 with a lagged dependent
variable (one-period lag) and the "nolevel" option. I included 3 time
period dummies (t1, t2, t3) in the model.

The output from the estimation shows that the number of observations
per group (min/avg/max) is 2. The total number of observations is half
that of my sample size. These figures are consistent with what the
one-step difference GMM, where observations in the first two periods
are dropped.

What puzzle me is that there is an estimated coefficient for the 2nd
time period (t2), while t1 is dropped from the model. I would like to
know why t2 is being estimated even though the observations used in
the estimation should be those in t3 and t4?

Thanks!
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