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  • Using Arellano-Bond with Difference-in-Difference

    Hello. I am not sure whether I can use Arellano-Bond method together with DiD specification. Is it possible? I think it can be done, but does it make sense?
    Please give some comments!!

  • #2
    Your question is underidentified. To get better responses provide a bit more detail. Provide some context for your project and what your goal is. There may be other alternatives that people may be aware of, but without a better understanding of your work it really isn't possible to provide too much advice.

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    • #3
      Yes, the sample period is from 2005 to 2011. Using the 2008 crisis that causes a group A of firms negative effects as the natural experiment, I set up a DiD specification: y_it = b_it+crisis_year_dummy_t + crisis_year_dummy_t*groupA_dummy+X_it. Then I add y_it-1 as independent variable as the Arellano-Bond Difference GMM. Is it possible?

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