* Program to reproduce example from Greene, Econometric Analysis, 
* 5th ed., 2002, pp. 554, based on Dalberg and Johansson 2000)
log using greeneTable18.3.smcl,replace

use http://fmwww.bc.edu/ec-p/data/micro/dahlberg-johansson, clear

summ

* This run won't match for the year dummies.
xi: xtabond2 expend l(1/3).(expend revenue grants) i.year, gmm(l.expend) iv(i.year) noleveleq twostep h(1)
* For a perfect match, make variables whose first differences are year dummies.

xtabond2 expend l(1/3).(expend revenue grants) yr*c, ///
 gmm(l.expend) iv(yr*c) noleveleq twostep h(1)

* now redo with Windmeijer correction

xtabond2 expend l(1/3).(expend revenue grants) yr*c, ///
 gmm(l.expend) iv(yr*c) noleveleq twostep robust h(1)
log close