Time dummies in xtabond and xtdpdsys

[ancia dettox]

Hi,

I made three year dummies. One is for 2005-2006, second is for 2007-2013 and third is for 2014-2017. I included only two last variables in xtabond and xtdpdsys models. Is it normal that Stata treats them as D.year07_13 D.year14_17 (this means Instruments for differenced equation)?

Thanks a lot!

[Phil Bromiley]

These estimators often treat all exogenous variables as instruments.

David Roodman did a nice intro to xtabond2 see: https://www.stata-journal.com/articl...article=st0159

He may also have a longer version on-line - http://citeseerx.ist.psu.edu/viewdoc...=rep1&type=pdf
While about xtabond2, much of the discussion applies to the Stata provided estimators as well.