How to do Xtabond2: An Introduction to Difference and System GMM in Stata
How to do Xtabond2: An Introduction to Difference and System GMM in Stata
G. David Roodman,M. Arellano,3 Authors,Decio Coviello
2006 · DOI: 10.1177/1536867X0900900106
10,363 Citations
TLDR
This pedagogic article first introduces linear generalized method of moments, and describes how limited time span and potential for fixed effects and endogenous regressors drive the design of the estimators of interest, offering Stata-based examples along the way.