Regarding GMM

[Sang-Bum Park]

Hi,

There are multiple commands (xtabond , xtabond2, xtdpdsys) for GMM in Stata. What is less clear for me is the difference between the difference GMM and the system GMM.
-xtabond- and -xtabond2- run difference GMM while -xtdpdsys- tests system GMM. Am I correct?

[Sebastian Kripfganz]

To add even more confusion, there is another community-contributed command for GMM estimation of linear dynamic panel models: xtdpdgmm.

xtabond is Stata's official command for difference GMM estimation and xtdpdsys is Stata's offical command for system GMM estimation. Both are wrappers for the more flexible xtdpd command. xtabond2 and xtdpdgmm are very flexible can both be used for difference GMM and system GMM estimation. Some further information can be found in the Statalist topic linked above and the respective help files for all of these commands.

[Sang-Bum Park]

Thank you Sebastian Kripfganz for your very helpful answer and the xtdpdgmm command.