How to Do xtabond2外文电子书籍.pdfVIP

Working Paper Number 103 December 2006 How to Do xtabond2: An Introduction to “Difference” and “System” GMM in Stata By David Roodman Abstract The Arellano-Bond ( 1991) and Arellano-Bover ( 1995)/Blundell-Bond ( 1998) linear generalized method of moments (GMM) estimators are increasingly popular. Both are general estimators designed for situations with “small T, large N” panels, meaning few time periods and many individuals; with independent variables that are not strictly exogenous, meaning correlated with past and possibly current realizations of the error; with fixed effects; and with heteroskedasticity and autocorrelation within individuals. This pedagogic paper first introduces linear GMM. Then it shows how limited time span and the potential for fixed effects and endogenous regressors drive the design of the estimators of interest, offering Stata-based examples along the way. Next it shows how to apply these estimators with xtabond2. It also explains how to perform the Arellano-Bond test for autocorrelation in a panel after other Stata commands, using abar. The Center for Global Development is an independent think tank that works to reduce global poverty and inequality through rigorous research and active engagement with the policy community. Use and dissemination of this Working Paper is encouraged, however reproduced copies may not be used for commercial purposes. Further usage is permitted under the terms of the Creative Commons License. The views expressed in this paper are those of the author and should not be attributed to t