xtabond2

  1. J

    Dynamic Panel Data for Financial Markets

    Dear all, I am trying to simultaneously estimate three equations using dynamic panel data. In each equation, the dependent variable (say, Y(3)) is a function of the two other dependent variables from that same period (say, X(3) and Z(3)), as well as the lagged values of the same dependent...
  2. J

    variables being dropped from difference gmm

    I'm working with panel data, using the command xtabond2 for Arellano Bond estimator. When I run the command, most of my explanatory variables are dropped because of collinearity. To my knowledge, there is no collinearity between those variables; as a matter of fact, they only get dropped with...
  3. B

    how to improve Arellano-Bond test for AR(2) in first differences in system GMM?

    Hello, I am estimating my regression using system GMM. xtabond2 y L.y x1 x2 x3 yr2004-yr2011 z, gmm(y, lag(2 .) ) iv(x3 yr2004-yr2011, eq(lev)) iv(x1 x2 z) two ar(4) ort nodiff noconst rob I am concerning most below: - instrument number to make sure not to exceed group number -...
  4. B

    how to improve Arellano-Bond test for AR(2) in first differences in system GMM?

    Hello, I am estimating my regression using system GMM. xtabond2 y L.y x1 x2 x3 yr2004-yr2011 z, gmm(y, lag(2 .) ) iv(x3 yr2004-yr2011, eq(lev)) iv(x1 x2 z) two ar(4) ort nodiff noconst rob I am concerning most below: - instrument number to make sure not to exceed group number -...
  5. E

    xtabond2 suppressing the constant

    Hi all, When using the difference GMM estimator, the constant is differenced out by way of the first-difference transformation. So using the option "noconstant" is moot. But what is the interpretation of the constant in System GMM? The system GMM uses the original levels equation and the...