How to do Xtabond2: An Introduction to Difference and System GMM in Stata

Roodman, David

doi:10.1177/1536867x0900900106

Public

How to do Xtabond2: An Introduction to Difference and System GMM in Stata

Published in The Stata Journal Promoting communications on statistics and Stata • Mar 1, 2009

Authors:

David Roodman

Abstract

The difference and system generalized method-of-moments estimators, developed by Holtz-Eakin, Newey, and Rosen (1988, Econometrica 56: 1371–1395); Arellano and Bond (1991, Review of Economic Studies 58: 277–297); Arellano and Bover (1995, Journal of Econometrics 68: 29–51); and Blundell and Bond (19...

Subject

Estimator

Generalized method of moments

Heteroscedasticity

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