xtabond2 depvar varlist [if exp] [in range] [weight] [, level(#) svmat twostep robust cluster(varname) noconstant small noleveleq orthogonal gmmopt [gmmopt. Abstract. The difference and system generalized method-of-moments estimators, developed by Holtz-Eakin, Newey, and Rosen (, Econometrica How to Do xtabond2: An Introduction to “Difference” and “System” GMM in Stata. By David Roodman. Abstract. The Arellano-Bond () and Arellano-Bover.
I have panel data for banks (large N, small T) and although I read several articles about the "xtabond2"-command I still don't know how to. xtabond2 can fit two closely related dynamic panel data models. The first is the Arellano-Bond () estimator, which is also available with xtabond without the . Using Arellano – Bond Dynamic Panel GMM Estimators in Stata. Tutorial with Examples using Stata (xtabond and xtabond2). Elitza Mileva.
I want to run a panel dynamic gmm regression using xtabond2 but I am unable to understand its syntax. I just wanted to use lagged values of all right hand side. Another alternative is to use xtabond2 command (ssc install xtabond2), a new stata routine to implement also the Blundell and Bond system of GMM estimators . This working paper by CGD research fellow David Roodman provides an introduction to a particular class of econometric techniques, dynamic panel estimators. The author explains how to apply these estimators with xtabond2 and how to perform the Arellano-Bond test for autocorrelation in a panel after other Stata.