thanks a lot!!! very useful!!!!!

谢谢连老师的解答，从你资料上学了很多，入门就是看您的资料的

老师我怎么做出来的估计值都完全不一样啊。还有artests(2)是什么意思

4# arlionn

请问是不是xtdpdsys 在9.0版本中不能用？我在Stata9.0中想安装也安装不上


另外 大家用的Stata10.0版本是正版的么 如果不是 会担心估计结果出错吗

多谢连老师

It's good for me. Thanks~

正好要用到，两种方法都试一下。连老师太牛了。

谢谢连老师！

连老师是中国大陆地区计量经济学的大牛！

不错，谢谢

呵呵，I see~

学习了！十分感谢！

我要问一个问题就是，XTPDSYS 如果直接回归，默认的工具变量，内生变量是什么？

连老师真好！谢谢！

这样对比一下，更清晰了。谢！

连老师，xtdpdsys在estat sargan检验有效性时为什么不出结果？

好像    xtabond2可以设定内生变量和前定变量。如果x是内生变量，GMM里面填写L.X如果x是前定变量，GMM里面就填写x。

你说的那个是外生变量 前定变量和内生变量的区别有没有更细致的分析

又学到了！

应用STATA10
xtdpdsys 做两步回归，无法生成常数项系数的估计，进而无法进行相关性检验，会出现错误提示： cannot calculate AR tests with dropped variables
而xtabond2做两步回归，却可以生成常数项的系数估计
是这样的吗？

我认为是这样的，前定变量就写x,内生变量就写l.x

感谢答疑！感觉就是xtdpdsys更简洁些，但是例子太少了。另外presetermined 前定变量什么意思，和内生变量什么关系和区别，l.y是作为内生变量是因为 l.y可能影响x，那么y做前定变量又是什么意思呢？

xtdpdsys or xtdpd is more concise way to write code for system GMM, but basically similar to xtabond2.

xtdpdsys or xtdpd can set the predetermined vars in "pre()" and endpgenous vars in "endog()", but they do not report sargan test and AR(2), need to use "estat sargan" and "estat abond" to get the postestimation, but xtabond2 automatically report these.

Here are from stata website for their difference:
http://www.stata-press.com/manuals/stata10/xtintro.pdf

b. New estimation command xtdpdsys fits dynamic panel-data models by using the Arellano–Bover/Blundell–Bond system estimator. xtdpdsys is an extension of xtabond and produces
estimates with smaller bias when the AR process is too persistent. xtpdsys is also more efficient than xtabond. Whereas xtabond uses moment conditions based on the differenced
errors in producing results, xtpdsys uses moment conditions based on differences and levels.
See [XT] xtdpdsys.

c. New estimation command xtdpd fits dynamic panel-data models extending the Arellano–Bond or the Arellano–Bover/Blundell–Bond system estimator and allows a richer syntax for specifying models and so will fit a broader class of models then either xtabond or xtdpdsys. xtdpd can be used to fit models with serially correlated idiosyncratic errors,
whereas xtdpdsys and xtabond assume no serial correlation. xtdpd can be used with models where the structure of the predetermined variables is more complicated than that assumed by xtdpdsys or xtabond. See [XT] xtdpd.d.

New postestimation command estat abond tests for serial correlation in the first-differenced
errors. See [XT] xtabond postestimation, [XT] xtdpdsys postestimation, and [XT] xtdpd postestimation.

e. New postestimation command estat sargan performs the Sargan test of overidentifying restrictions. See [XT] xtabond postestimation, [XT] xtdpdsys postestimation, and [XT] xtdpd
postestimation.

多谢