Using Stata to Replicate Table 4 in Bond (2002)文章和数据见附件
Open the dataset usbal89.
The main variables are:
id - firm identifier
year - year
y - log sales
n - log employment
k - log capital stock
Other variables have been derived from these. E.g.
y_1 - first lag of y
yk - (y - k), log of sales-capital ratio
Set panel format
tsset id year , yearly
下面关于DIF-GMM\SYS-GMM的命令输入之后发现运行不了，请大家指点哪里错了还是有其他问题，谢谢
First-Differenced GMM; Table 4, column (iii)
xi: xtabond2 y n l.n k l.k l.y i.year , gmm(y n k, lag(2 .)) iv(i.year) robust noleveleq

System GMM; Table 4, column (v)
xi: xtabond2 y n l.n k l.k l.y i.year , gmm(y n k, lag(2 .)) iv(i.year, equation(level)) robust
h(1)