Hi,

I try to understand the syntax of xtdpdgmm and would like to replicate my xtabond2 systems-GMM with xtdpdgmm. My model has an independent variable y, the independent variables x1, x2 and x3 as well as an additional industry fixed effect fe. The variable x1 is predetermined.

In xtabond2 the model should look like this - with collapsed instruments:

xtabond2
Code:
xtabond2 y x1 x2 x3 i.fe, gmm(x1, collapse) iv(x2 x3 i.fe)
As far as I understand the systems-GMM approach, the instruments (gmm- and iv-style instruments) enter the first-difference equation untransformed and the level equation as transformed values (first-difference). Thus, the xtdpdgmm command should look like this:

xtdpdgmm
Code:
xtdpdgmm y x x1 x2 x3 i.fe, gmm(x1, model(diff) lag(1 .) collapse) gmm(x1, diff model(level) lag(1 .) collapse) iv(x2 x3 i.fe,  model(diff) lag(0 0)) iv(x2 x3 i.fe, diff model(level) lag(0 0))
Is my xtdpdgmm syntax correct? Are the models equivalent?

Best regards
Ole