xtabond2

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...

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...

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 -...

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 -...

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...