On Mon, 10 May 2010, Liliya Netskar wrote: > Dear gretl-users, > > I need your help. > > I would like to apply for my panel data analysis the two-step GMM > Arellano-Bond dynamic panel-data estimation, because it is more > efficient for samples with small t. Is is possible to perform it with > Gretl? The tables report results for one-step or two-step Arellano-Bond > estimation. But what are they? GMM (DIF) or GMM (SYS)?
What you get in gretl at the moment is GMM-DIF. The so-called SYS estmator is planned and there is the chance that it shows up before long. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
