xtabond.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 07apr2005}{...}
{cmd:help xtabond} {right:dialog:  {bf:{dialog xtabond} {space 14}}}
{right:also see:  {help xtabond postestimation}}
{hline}

{title:Title}

{p2colset 5 21 23 2}{...}
{p2col :{hi:[XT] xtabond} {hline 2}}Arellano-Bond linear, dynamic panel-data estimation{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 16 2}{cmd:xtabond} {depvar} [{indepvars}] {ifin} [{cmd:,} {it:options}]


{synoptset 22 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Model}
{synopt :{opt noc:onstant}}suppress constant term{p_end}
{synopt :{opth diff:vars(varlist)}}already differenced exogenous variables{p_end}
{synopt :{opth inst(varlist)}}additional instrument variables{p_end}
{synopt :{opt la:gs(#)}}use {it:#} lags of dependent variable; default is {cmd:lags(1)}{p_end}
{synopt :{opt maxld:ep(#)}}maximum lags of dependent variable for use as instruments{p_end}
{synopt :{opt maxlag:s(#)}}maximum lags of predetermined variables for use as instruments{p_end}
{synopt :{opt two:step}}compute the two-step estimator instead of the one-step estimator{p_end}

{syntab:Predetermined, More predetermined}
{synopt :{cmd:pre(}{varlist}[{it:...}]{cmd:)}}predetermined variables; see {it:{help xtabond##options:Options}} for details{p_end}
{synopt :{cmd:pre(}{varlist}[{it:...}]{cmd:)}}{opt pre()} can be specified more than once{p_end}

{syntab:SE/Robust}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt r:obust}{p_end}
{synopt :{opt r:obust}}synonym for {cmd:vce(robust)}{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt sm:all}}report small-sample statistics{p_end}
{synopt :{opt ar:tests(#)}}use {it:#} as maximum order for {cmd:AR} tests; default is {cmd:artests(2)}{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}
You must {cmd:tsset} your data before using {cmd:xtabond}; see {helpb tsset}.{p_end}
{p 4 6 2}
{it:indepvars} and all {it:varlists} may contain time-series operators; see
{help tsvarlist}.  The specification of {depvar} may not contain time-series
operators.{p_end}
{p 4 6 2}
{opt by}, {opt statsby}, and {opt xi} may be used with
{cmd:xtabond}; see {help prefix}.{p_end}
{p 4 6 2}
See {help xtabond postestimation} for features available after estimation.{p_end}


{title:Description}

{pstd}
Dynamic panel-data models allow past realizations of the dependent variable to
affect its current level. {cmd:xtabond} fits a dynamic panel-data model using
the Arellano-Bond estimator.  Consider the model

{p 4 12 2}y_it = {bind: y_(it-1)a_1} + ... + {bind:y_(it-p)a_p} +
{bind:x_(it)b_1} + {bind:w_(it)b_2} + v_i + e_(it) {space 4} i={c -(}1,...,N{c
)-}; {space 3} t={c -(}1,...,T_i{c )-},

    where

{p 4 12 2}the a_1,...,a_p are p parameters to be estimated{p_end}

{p 4 12 2}x_(it) is a (1 X k_1) vector of strictly exogenous covariates{p_end}

{p 4 12 2}b_1 is a (k_1 X 1) vector of parameters to be estimated{p_end}

{p 4 12 2}w_(it) is a (1 X k_2) vector of predetermined covariates{p_end}

{p 4 12 2}b_2 is a (k_2 X 1) vector of parameters to be estimated{p_end}

{p 4 12 2}v_i are the random effects that are independent and identically
distributed (iid) over the individuals with variance s_v*s_v{p_end}

{p 4 12 2}and e_(it) are iid over the whole sample with variance s_e*s_e.{p_end}

{pstd}
The v_i and the e_(it) are assumed to be independent for each
{it:i} over all {it:t}.

{pstd}
First differencing the above equation removes the v_i and produces an
equation that can be estimated using instrumental variables.  Arellano and Bond
derive a generalized method-of-moments estimator for a_1,...,a_p, b_1,
and b_2 using lagged levels of the dependent variable and the predetermined
variables and differences of the strictly exogenous variables.  {cmd:xtabond}
implements this estimator, known as the Arellano-Bond dynamic panel-data
estimator.  This method assumes that there is no second-order autocorrelation
in the e_(it).  {cmd:xtabond} includes the test for autocorrelation and the
Sargan test of over-identifying restrictions for this model.


{title:Options}

{dlgtab:Model}

{phang}
{opt noconstant}; see {help estimation options##noconstant:estimation options}.

{phang}
{opth diffvars(varlist)} specifies a set of variables that already have been
differenced to be included as strictly exogenous covariates.

{phang}
{opth inst(varlist)} specifies a set of variables to be used as additional
instruments.  These instruments are not differenced by {cmd:xtabond} before
including them into the instrument matrix.

{phang}
{opt lags(#)} sets p, the number of lags of the dependent variable to be
included in the model.  The default is p=1.

{phang}
{opt maxldep(#)} sets the maximum number of lags of the dependent variable
that can be used as instruments.  The default is to use all T_i-p-2 lags.

{phang}
{opt maxlags(#)} sets the maximum number of lags of the predetermined
variables that can be used as instruments.  The default is to use all T_i-p-2
lags of the dependent variable.  If the predetermined variables are
endogenous, the default is to use all T_i-p-2 lags of these endogenous
variables.  If the predetermined variables are not endogenous, the default is
to use all T_i-p-1 lags of these variables.

{phang}
{opt twostep} specifies that the two-step estimator be calculated.

{dlgtab:Predetermined, More predetermined}

{marker options}{...}
{phang}
{cmd:pre(}{varlist} [{cmd:,} {opt lagstruct(prelags, premaxlags)}
{opt end:ogenous}]{cmd:)} specifies that a set of predetermined variables be
included in the model.  Optionally, one may specify that {it:prelags} lags of
the specified variables also be included.  The default for {it:prelags} is 0.
Specifying {it:premaxlags} sets the maximum number of further lags of the
predetermined variables that can be used as instruments.  Additionally, if you
specify {opt endogenous}, {cmd:xtabond} treats these variables as endogenous
instead of predetermined.  The default is to include T_i-{it:prelags}-1 lagged
levels as instruments for predetermined variables and T_i-{it:prelags}-2
lagged levels as instruments for endogenous variables.  You may specify as
many sets of predetermined variables as you need within the standard Stata
limits on matrix size.  Each set of predetermined variables may have its own
number of {it:prelags} and {it:premaxlags}.

{dlgtab:SE/Robust}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}.

{phang}
{cmd:robust}; see {help estimation options##robust:estimation options}. 
{opt robust} may not be specified with {opt twostep}. 

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt small} specifies that t statistics be reported instead of Z statistics
and that F statistics instead of chi-squared statistics.

{phang}
{opt artests(#)} specifies the maximum order of the autocorrelation test to be
calculated and reported.  The maximum order must be less than or equal to p+1.
The default is 2.


{title:Examples}

{phang}{cmd:. xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2)}

{phang}{cmd:. xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2) twostep pre(w, lag(1,.)) pre(k,lag(2,.))}


{title:Also see}

{psee}
Manual:  {bf:[XT] xtabond}

{psee}
Online:  {help xtabond postestimation};{break}
{helpb xtdata}, {helpb xtdes}, 
{helpb xtivreg}, {helpb xtreg}, {helpb xtregar}, {helpb xtsum},
{helpb xttab}; {helpb tsset}
{p_end}