ABLags generates a VECT[SERIES] with the expanded panel data instruments for doing Arellano-Bond instrumental variables estimation. This is also used in the Holtz-Eakin--Newey-Rosen technique for estimating panel VAR's with individual effects. This does one series at a time, so with multiple explanatory variables, you'll need to use ABLAGS for each.
ablags.src
Detailed description
ABLAGS—Generates Arellano-Bond instruments
-
TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
ABLAGS—Generates Arellano-Bond instruments
Last bumped by TomDoan on Mon Apr 06, 2015 3:43 pm.