XploRe Help : pandyn2

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	panel
See also:	panfix pandyn

Quantlet:		pandyn2
Description:		second step of the 2-stage dynamic GMM

Reference(s):

Arellano, M. and Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. The Review of Economic Studies 58, pp. 277-297.

Usage:	`output=pandyn2(z,p,IVmeth,beta {,T})`
Input:
	`z`	NT x {2}+1+k matrix of panel data
	`p`	scalar, autoregressive order for dependent variable
	`IVmeth`	scalar, indicator for the instruments; IVmeth = 0 lets the program choose the IV-method
	`beta`	(k+p) x 1 vector of coefficient estimates
	`T`	optional scalar, common time periods for balanced panel
Output:
	`output`	string, output table

Note:

See Arellano and Bond (1991) for the description of the method.

Example:

library("panel") z=read("dynpanel.dat") ; read data set {output,b}=pandyn(z,1,0) ; compute first step pandyn2(z,1,0,b) ; computes the second step

Result:

n/a

Author: J. Breitung, 20011012 license MD*Tech