[Gretl-users] A Newbie Needs Help

[Allin Cottrell]

On Wed, 12 Mar 2008, scottd.orr at comcast.net wrote:

> The manual seems to suggest that gretl's normal procedure for 
> handling of lags makes the Arrellano/Bond estimator 
> unnecessary--but it doesn't give any detail on that procedure.  
> Or am I missing something?

1) Gretl will generate lags correctly in a panel dataset, entering 
a missing value at the start of each time-series.

2) This doesn't really have much to do with Arellano-Bond. A-B is 
a method for producing consistent estimates when a panel model 
includes lags of the dependent variable.  Simply getting the lags 
correctly calculated does not produce this effect.

Allin Cottrell