Dynamic Panel Data xtpdsys/xtabond

[David Papp]

Hi,

I would like to make the same dynamic panel data analysis, as in this article: https://www.tandfonline.com/doi/full...X.2019.1642776

I found that I probably have to use xtpdsys, but can't figure out how to write the proper command line in stata.
The equations to use according to the article are in the below picture if you can't access the article, and I included some of the data I have.

corp name	corp id	year id	fin year	ROA	RDI	LEV	lnSize	TAG
Acacia Communications	1	9	2014	22,6521	0,194695	-0,27281	4,985208	0,222468
Acacia Communications	1	10	2015	41,2619	0,161657	-0,18629	5,476698	0,991228
Acacia Communications	1	11	2016	40,6302	0,158223	-0,60047	6,170472	2,953803
Acacia Communications	1	12	2017	6,8265	0,238928	-0,5965	5,953674	0,182448
Acacia Communications	1	13	2018	0,8105	0,301291	-0,66439	5,828625	-0,01536
Acacia Communications	1	14	2019	4,9633	0,276975	-0,62575	6,141312	0,198645
Advanced Micro Devices	2	9	2014	-9,9457	0,194697	0,311123	8,613594	-0,13143
Advanced Micro Devices	2	10	2015	-19,2673	0,237284	0,470817	8,291797	-0,18131
Advanced Micro Devices	2	11	2016	-15,5504	0,233387	0,051491	8,370779	0,076848
Advanced Micro Devices	2	12	2017	-0,9603	0,227679	0,059122	8,566555	0,069557
Advanced Micro Devices	2	13	2018	8,3128	0,221467	0,020632	8,775704	0,282658
Advanced Micro Devices	2	14	2019	6,4437	0,229832	-0,12857	8,814479	0,32309
Advanced Semiconductor Engineering	3	9	2014	7,6149	0,040101	0,136465	9,043714	0,098101
Advanced Semiconductor Engineering	3	10	2015	5,4929	0,038607	0,175253	9,096499	0,04982
Advanced Semiconductor Engineering	3	11	2016	5,9876	0,04144	0,195213	9,051474	-0,00357
Advanced Semiconductor Engineering	3	12	2017	6,3698	0,040444	0,069377	9,164102	0,109918
Advanced Semiconductor Engineering	3	13	2018	4,7309	0,040182	0,314423	9,183164	-0,26729
Advanced Semiconductor Engineering	3	14	2019	4,6716	0,056208	0,327903	8,577633	0,074934
Advantest	4	9	2014	-15,6093	0,292015	-0,06025	7,018525	-0,06827
Advantest	4	10	2015	5,1494	0,182919	-0,15593	7,308669	0,020714
Advantest	4	11	2016	2,769	0,193065	-0,19393	7,208939	-0,17819
Advantest	4	12	2017	6,425	0,200108	-0,21839	7,27399	0,112273
Advantest	4	13	2018	7,4473	0,161855	-0,2911	7,533886	0,151787
Advantest	4	14	2019	20,386	0,13418	-0,3938	7,842991	0,147353

[Sebastian Kripfganz]

In the first place, you need to specify whether your regressors are endogenous, predetermined, or strictly exogenous with respect to u_i,t. You can find some examples and further background information in my 2019 London Stata Conference presentation:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.

[David Papp]

In the first place, you need to specify whether your regressors are endogenous, predetermined, or strictly exogenous with respect to u_i,t. You can find some examples and further background information in my 2019 London Stata Conference presentation:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.

Thanks, these slides are just what I need to get started. I failed to find any good resources about these dynamic panel data models in Stata.