Hi All,

My dataset resembles the following:

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(individual time y x lagy lag2y)
1 1999 23  3  .  .
1 2000  2  2 23  .
1 2001  2 32  2 23
1 2002  3  2  2  2
2 1999  2  3  .  .
2 2000  2  2  2  .
2 2001  2  2  2  2
2 2002  2  2  2  2
2 2003  3  3  2  2
3  200  2  2  .  .
3 1999  2  .  .  .
3 2000  3  2  2  .
end
My model is basically an AR(2) model, with the dependent variable y being determined by its 2 lags, and another variable, say x. Now, I wish to apply the Arellano-Bond procedure to obtain consistent estimates of the AR terms. I am familiar with estimation of the AR(1) model, but I am not sure how to use the AB estimator with 2 lags. I currently am doing the following:

Code:
xtabond y x , lags(2) artests(2)
I am not certain if this takes care of the issue of the second lagged depedent variable in the moment conditions automatically (in other words, does the option lags(2) ensure that appropriate lags in levels and differences are chosen as instruments?)

Many thanks,
CS