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  • xtabond2 new features

    xtabond2 can now do multi-way clustering: just list clustering variables in a cluster() option. (And "cluster()" implies "robust.")

    And there is a svvar option that will save the X, Y, and Z matrices as variables in your data set, so that you could, e.g., perform weak instrument diagnostics via ivreg2.

    Type "ssc install xtabond2, replace" in Stata to get the latest version.
    --David

  • #2
    xtabond2 result l.result l2.result uer sdR debt efficiency assets i.year lnage if FPort==1, gmm(result, lag(2 4) collapse) gmm(assets, lag(4 4) collapse) iv(i.year lnage) twostep robust small

    when I run the above model for N=100 and T=9 I get satisfactory estimates and test statistics: thereafter, I run following commands as suggested in the xtabond2 help file:

    . ivreg ydiff1 (xdiff* = zdiff*) if samplediff, nocons
    samplediff not found


    ivreg2 ylev1 (xlev* = zlev*) if samplelev, nocons
    samplelev not found

    Please suggest how to go forward from here? If you have an example to share it would be a great relief.

    regards,
    Kinshuk

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