identiclal systanx from xtabond to xtabond2 or xtdpdgmm

[Changho Moon]

Dear Statalist,

I have the belowed xtabond syntax, in which options of maxldep and maxlags are very limited.

xtabond Y, endo(X1 X2) lag(1) maxldep(1) maxlags(2) twostep vce(robust)

I want to covert it to xtabond2 or xtdpdgmm syntax.

I've been looking at the manual and trying to do it, but I'm not sure how to do it correctly.

Thank you in advance.

[Sebastian Kripfganz]

The following code replicates your results with xtdpdgmm:

xtdpdgmm L(0/1).lwage wks exp , model(difference) gmmiv(L.lwage, lagrange(1 1)) gmmiv(wks exp, lagrange(2 2)) nolevel twostep vce(robust)

Please also have a look at the examples listed in the xtdpdgmm help file and the presentation referenced below. Also note that the latest version of the xtdpdgmm package contains the new xtdpdgmmfe command, which has a simpler syntax for specifying such models: It allows you to simply specify which variables are endogenous etc. Again, see the help file for details as well as the following Statalist topic: https://www.statalist.org/forums/for...84#post1675484

More on GMM estimation of linear dynamic panel data models:

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

[Changho Moon]

Dear Kripfganz

Thank you so much for your help.

Your kindness means a lot.