How is the Arellano-Bond estimator used in xtabond?

Description xtabond fits a linear dynamic panel-data model where the unobserved panel-level effects are correlated with the lags of the dependent variable, known as the Arellano–Bond estimator. This estimator is designed for datasets with many panels and few periods, and it requires that there be no autocorrelation in the idiosyncratic errors.

Which is an example of Arellano and bond?

Example 1: One-step estimator Arellano and Bond(1991) apply their new estimators and test statistics to a model of dynamic labor demand that had previously been considered byLayard and Nickell(1986) using data from an unbalanced panel of firms from the United Kingdom. All variables are indexed over the firm iand time t. In this dataset, n

Which is the default for xtabond in Arellano dynamic panel?

These instruments are not differenced by xtabond before including them in the instrument matrix. lags(#) sets p, the number of lags of the dependent variable to be included in the model. The default is p= 1. xtabond— Arellano–Bond linear dynamic panel-data estimation 3

Which is the default instrument for Stata endogenous variables?

The default is to include T ip 2 lagged levels as instruments for endogenous variables. You may specify as many sets of endogenous variables as you need within the standard Stata limits on matrix size. Each set of endogenous variables may have its own number of endlags and endmaxlags. xtabond— Arellano–Bond linear dynamic panel-data estimation 3

Which is GMM estimator does xtabond use?

By construction, the unobserved panel-level effects are correlated with the lagged dependent variables, making standard estimators inconsistent. Arellano and Bond(1991) derived a consistent generalized method of moments (GMM) estimator for the parameters of this model; xtabond implements this estimator.