Hey all,

I am currently using xtabond2 for my small T large N panel data estimation.

My variables look something like this:
Group Time lnY X A B
1 1 2.3 . 20 590
1 2 2.7 .0012 27 598
1 3 2.6 .0192 39 643
1 4 2.7 .016 50 630
2 1 1.7 . 80 1055
2 2 1.8 -.003 83 1062
2 3 1.9 .007 91 1092
2 4 2 .005 97 1136
3 1 2.1 . 10 235
3 2 2.3 .016 14 243
3 3 2.2 .004 15 249
3 4 2.1 -.015 11 255
Where Y is my dependent variable and X is my independent variable. I construct X by:

X_t=(A_t-A_t-1)/(A_t-1+B_t-1)

I want to run the xtabond2 command using Differenced GMM such that:

xtabond2 Yt Xt i.time, iv(Xt i.time) nolevel

The issue however is that I do not want Xt to be first differenced in this regression, only my dependent(and some controls which I have left out for simplicity).

I am unsure how to do this due to the denominator of my dependent variable being lags already.

To my knowledge just running

xtabond2 d.Yt Xt i.time, iv(Xt i.time)

Does not obtain the same results as I tried it with a variable more simply defined as: Xt=(A_t/N_t)- (A_t-1-B_t-1)

Thanks for any comments that may help with this,

Ross