Consider the Arellano and Bond (1991) dynamic employment equation for 140 UK companies over the period 1979-1984. Stata has this data set as abdatal. Replicate Table 4 of Arellano and Bond (1991) columns (1) and (2) using xtabond. Perform the serial correlation test using estat abond and the Sargan test for overidentification using estat sargan.

Table 4 of Arellano and Bond:

Transcribed Image Text:

Employment equations ni,1-1 Wit Wit-1 kit kit-1 1979-84 GMM-DIF 0.4046 (0.1363) - 1.1073 (0.3888) 0.3947 1979-84 GMM-SYS (0.1807) 1976-84 GMM-DIF 0.8596 0.7075 (0.0680) (0.0842) - 1.0255 -0.7088 (0.1171) 0.7705 0.5000 (0.1643) (0.1527) (0.1113) 0.5463 0.5625 0.4660 (0.2571) (0.2229) (0.1010) -0.4216 -0.4769 -0.2151 (0.2420) (0.0859) - 3.94 - m1 m2 Sargan (df) - (0.2821) - 2.24 1.13 15.34 43.43 (25) (37) 1.04 - 5.60 -0.14 88.80 (79) 1976-84 GMM-SYS 0.8103 (0.0578) - 0.7968 (0.1002) 0.5488 (0.1488) 0.4268 (0.0771) - 0.2786 (0.0784) - 6.50 -0.08 116.05 (100)