Hello,
I am currently working with the Arellano Bond difference estimator and I'm not able to generate the same results for the commands xtabond and xtabond2.
I tried to replicate the results from the following xtabond command with the xtabond2 command (x1 and x2 are exogenous):
xtabond y x1 x2 i.year, twostep vce(robust)
xtabond2 y l.y x1 x2 i.year, gmm(l.y) iv(x1 x2 i.year) noleveleq twostep robust small
Why do the two options not generate the same results?
Also, I am wondering how variables are treated if they are listed before the comma, but not after the comma. For example, how is x2 being estimated in the following case?
xtabond2 y l.y x1 x2, gmm(l.y) iv(x1) noleveleq twostep robust
I also asked another question yesterday about the interaction of an endogenous and exogenous variable. Any responses would be really appreciated!
Thank you so much in advance.
Sofie
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