How to Do xtabond2

摘要: xtabond2 may hold the record among user-written Stata modules for most confused users (and perhaps most-confused too). In this presentation, I motivate and describe, in pedagogic fashion, Arellano-Bond Blundell-Bond linear GMM dynamic panel estimators, drawing lessons from a steady stream of correspondence with users. And provide an overview how to implement them xtabond2. first introduce as extension OLS. Then describe limited time span, potential fixed effects, endogeneity, dangers bias all shape these estimators—in particular, their use differences, lags instruments, GMM. explain commands should be constructed, particular attention various options sub-options controlling instrument matrix construction. discuss need limit number instruments doing so.