search for: xtabond2

...is list lately. Sorry for the overlong posting but it might be worth the space. I will refer to the very good Stata tutorial by David Roodman that Ivo himself pointed me to, which gives a nice (and free) theoretical intro as well. Please (the others) find it here: http://repec.org/nasug2006/howtodoxtabond2.cgdev.pdf. As far as textbooks are concerned, Arellano's panel data book (Oxford) is the theoretical reference I would suggest. There have been two separate issues: - syntax (how to get the right model) - small sample behaviour (minimal time dimension to get estimates) I'll start with t...

...sonable. I would hope that the procedure could produce a lag(x) coefficient estimate of around 0, and then call it a day. could someone please tell me how to instruct pgmm to just estimate this simplest of all BB models? [My ultimate goal is to replicate what another author has run via "xtabond2 d ld, gmm(L.(d), lag(1 3)) robust" in Stata; if you know the magic of moving this statement into pgmm syntax, I would be even more grateful. Right now, I am so stuck on square 1 that I do not know how to move towards figuring out where I ultimately need to go.] regards, /iaw [[alte...

Hi, I'm a pgmm (plm) user and would like to know if a orthogonal transformation is available, as in Stata xtabond2. Can someone help me? Thanks! Kinds regards, Eva [[alternative HTML version deleted]]

...ta in Arellano and Bond (1991) and available as 'EmplUK' under the 'plm' package. I have been reading "Panel Data Econometrics in R: The plm Package" by Croissant and Millo available at http://cran.r-project.org/web/packages/plm/vignettes/plm.pdf and "How to Do xtabond2: An Introduction to 'Difference' and 'System' GMM in Stata" by David Roodman available at http://www.cgdev.org/content/publications/detail/11619 . Roodman provides a very clear exposition of how to use Stata to analyze the UK Employment Data. I am trying to replicate Rood...

...is list lately. Sorry for the overlong posting but it might be worth the space. I will refer to the very good Stata tutorial by David Roodman that Ivo himself pointed me to, which gives a nice (and free) theoretical intro as well. Please (the others) find it here: http://repec.org/nasug2006/howtodoxtabond2.cgdev.pdf. As far as textbooks are concerned, Arellano's panel data book (Oxford) is the theoretical reference I would suggest. There have been two separate issues: - syntax (how to get the right model) - small sample behaviour (minimal time dimension to get estimates) I'll start with t...