Hello all,
I wanted to estimate a model with a differenced dependent variable in STATA using the xtabond2 command, as the model is dynamic I would include a first differenced lag of the dependent variable on the right hand side.
The standard specification and explanations for xtabond only use non-differenced dependent variables, so is it possible to have a differenced dependent variable (plus lags) in xtabond2?
If yes what would be the correct specification for the gmm?
gmmstyle(LD.dependent_variable, laglimits (2 .) collapse),
gmmstyle(L.dependent_variable, laglimits (2 .),
gmmstyle(L2.dependent_variable, laglimits (2 .)
or something completely different?
My dataset is N=30, T=16; which I know is fairly short N & long T for arellano bond estimation but it is the only data available for analysing the question.
Thank you very much for any comment and help.
I wanted to estimate a model with a differenced dependent variable in STATA using the xtabond2 command, as the model is dynamic I would include a first differenced lag of the dependent variable on the right hand side.
The standard specification and explanations for xtabond only use non-differenced dependent variables, so is it possible to have a differenced dependent variable (plus lags) in xtabond2?
If yes what would be the correct specification for the gmm?
gmmstyle(LD.dependent_variable, laglimits (2 .) collapse),
gmmstyle(L.dependent_variable, laglimits (2 .),
gmmstyle(L2.dependent_variable, laglimits (2 .)
or something completely different?
My dataset is N=30, T=16; which I know is fairly short N & long T for arellano bond estimation but it is the only data available for analysing the question.
Thank you very much for any comment and help.
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