ABLAGS—Generates Arellano-Bond instruments

[TomDoan]

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