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?

Scott Orr

-------------- Original message --------------
From: Allin Cottrell <cottrell@wfu.edu>

> On Wed, 12 Mar 2008, Riccardo (Jack) Lucchetti wrote:
>
> > On Wed, 12 Mar 2008, Sven Schreiber wrote:
> >
> > > Well actually I haven't worked yet with the panels&gretl combination, so I
> > > can't help you with that. Dynamic panels are not trivial (but fashionable),
> > > maybe you want to use something like the Arrellano/Bond estimator. Of course
> > > you could perform that by cleverly using gretl's GMM framework, but I think
> > > it's not natively implemented yet. (Somebody correct me please.)
> >
> > It is. See the panel chapter of the manual and the "arbond91"
> > example script.
>
> The panel chapter has relatively little to say abou! t Arell ano/Bond
> (that still needs to be added) but the Command Reference section
> on the arbond command is reasonably detailed.
>
> Allin.
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