xtabond
XtAbond is a Stata command that implements the Arellano-Bond difference GMM estimator for dynamic panel data models. It is used when the dependent variable depends on its own past values and on other regressors that may be endogenous, while unobserved individual effects are present. The estimator aims to provide consistent parameter estimates in short panels (large N, small T) where conventional fixed-effects or OLS would be biased.
The typical model addressed is y_it = alpha y_{i,t-1} + X_it' beta + mu_i + epsilon_it, where mu_i captures time-invariant
XtAbond offers options for one-step or two-step estimation, with robust standard errors and, in some implementations,
Limitations include potential weak instruments when the autoregressive parameter is near unity or when T is