* Program to reproduce results from Arellano-Bond 1991, as contained in "abest1.out" and "abest1.out" in http://www.doornik.com/download/dpdox121.zip. * These results match those in the paper except for the AR() tests, as explained in footnote 7, page 29, of the DPD for Ox manual * (dpd.pdf in the above .zip file). clear all set mem 32m set matsize 800 use "http://www.stata-press.com/data/r7/abdata.dta" * Make variables whose first differences are year dummies and the constant term. * This step is not necessary in general, but is needed to exactly imitate DPD because it enters time dummies * and the constant term directly, undifferenced, in difference GMM. forvalues y = 1979/1984 { gen yr`y'c = year>=`y' } gen cons = year * Replicate difference GMM runs in Arellano and Bond 1991, Table 4 * Column (a1) xtabond2 n L(0/1).(l.n w) l(0/2).(k ys) yr198?c cons, gmm(L.n) iv(L(0/1).w l(0/2).(k ys) yr198?c cons) noleveleq noconstant robust * Column (a2) xtabond2 n L(0/1).(l.n w) l(0/2).(k ys) yr198?c cons, gmm(L.n) iv(L(0/1).w l(0/2).(k ys) yr198?c cons) noleveleq noconstant two * Column (b) xtabond2 n L(0/1).(l.n ys w) k yr198?c cons, gmm(L.n) iv(L(0/1).(ys w) k yr198?c cons) noleveleq noconstant two * Column (c)--approximate. The data available set lacks sales and stock information, so different instruments must be used here. This regression * replicates prefectly the results in abest3.out in the DPD for Ox package xtabond2 n L(0/1).(l.n ys w) k yr198?c cons, gmm(L.n) gmm(w k, lag(2 3)) iv(L(0/1).ys yr198?c cons) noleveleq noconstant two