xtabond2 and first differences

[Bernardo MMendes]

Hello everyone,

I am starting the empirical part of my thesis and I'll use a System GMM specification to deal with the question I am willing to answer. Right now I am quite confused with one particularity of xtabond2. Does the command xtabond2 takes the first difference on variables automatically or should I generate the first difference variables manually and then run the model?

Regards,

Bernardo Mendes

[Sebastian Kripfganz]

The command does the differencing.

The following presentation might contain further useful information:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.