# Replicate parts of Table 4 in Arellano and Bond,
# "Some Tests of Specification for Panel Data: Monte Carlo
# Evidence and an Application to Employment Equations",
# Review of Economic Studies, 58 (1991), pp. 277-297.
open abdata.gdt
# We first treat all the independent variables as
# exogenous (Table 4, column b)
list X = w w(-1) k ys ys(-1)
# 1-step GMM estimation
dpanel 2 ; n X const --time-dummies --asy --dpdstyle
# 2-step estimation
dpanel 2 ; n X const --time-dummies --asy --two-step --dpdstyle
# Then we treat the wage and capital stock as predetermined,
# not exogenous. This gives an approximation to Table 4,
# column c. But note that some of the data used in that
# model are not available. In addition, we're using
# finite-sample corrected standard errors.
list Ivars = ys ys(-1)
dpanel 2 ; n X const ; GMM(w,2,3) GMM(k,2,3) Ivars --time --dpd
dpanel 2 ; n X const ; GMM(w,2,3) GMM(k,2,3) Ivars --time --two-step --dpd