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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | # 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
# Take first differences of the independent variables
genr Dw = diff(w)
genr Dk = diff(k)
genr Dys = diff(ys)
# We first treat all the independent variables as
# exogenous (Table 4, column b)
# 1-step GMM estimation
arbond 2 ; n Dw Dw(-1) Dk Dys Dys(-1) 0 --time-dummies
# 2-step estimation
arbond 2 ; n Dw Dw(-1) Dk Dys Dys(-1) 0 --time-dummies --two-step
# 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 pred = Dw Dw(-1) Dk
list exog = Dys Dys(-1) 0
arbond 2 ; n pred exog ; exog GMM(k,2,3) GMM(w,2,3) --time-dummies
arbond 2 ; n pred exog ; exog GMM(k,2,3) GMM(w,2,3) --time --two-step
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