Dear Statalists,
In dynamic panel data model, difference GMM (arellano and bond, 1991) and System GMM (blundell and bond 1998) applies when the coefficient of lagged dependent variable RHS has absolute value smaller than 1. However, xtabond2 or the built-in xtabond seemingly has no such test to check this assumption.
Thus I wonder whether this test is in fact trivial in dpd?
Kind regards,
Yugen
In dynamic panel data model, difference GMM (arellano and bond, 1991) and System GMM (blundell and bond 1998) applies when the coefficient of lagged dependent variable RHS has absolute value smaller than 1. However, xtabond2 or the built-in xtabond seemingly has no such test to check this assumption.
Thus I wonder whether this test is in fact trivial in dpd?
Kind regards,
Yugen
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