Hi Giovanni and Yves,

My is Eliano Marques, i'm a master degree econometrician from ISEG in
Portugal.

I was trying to use your R package with a specific output i cannot get the
same results that i'm getting in Stata.

Could you please let me know if the below is correct or if i'm missing
anything?

On the below model I want to run a model for 62 companies for a 5 year
period:

log(revenue+2)it = log(revenue+2)(-1)it*b1 + log(Cost+2)(-1)it*b2 +
log(Cost+2)it*b3 + vit
modeloutput<- pgmm(log(Revenue+2) ~ lag(log(Revenue+2), 1)+
lag(log(Cost+2), 0:1)
 | lag(log(Cost+2), 2:99) +
lag(log(Cost+2), 2:99) ,
data = BD, effect = "twoways", model = "onestep",
transformation = "ld")
summary(modeloutput, robust = TRUE)

I want to include time.dummies in both equation in level and differences.

I get this output:

Coefficients
                                Estimate Std. Error z-value  Pr(>|z|)
lag(log(Revenue + 2), 1)        0.486593   0.146151  3.3294 0.0008703 ***
lag(log(Cost+ 2), 0:1)0  1.165293   0.069329 16.8081 < 2.2e-16 ***
lag(log(Cost + 2), 0:1)1 -0.565378   0.199199 -2.8383 0.0045360 **

>From Stata, running the following code I get this:

xtabond2 lnrevenue l.lnrevenue lncost l.lncost  i.year , iv(i.year  )
 gmm(l.lnrevenue lncost ) robust small

  lnrevenue |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
   lnrevenue |
         L1. |    .358987   .1176716     3.05   0.003      .123688
.594286
             |
lncost |
         --. |   1.185943   .0363891    32.59   0.000     1.113179
 1.258708
         L1. |  -.4332851   .1551862    -2.79   0.007    -.7435992
-.1229711
             |
        year |
       2009  |  -.2100918   .0466175    -4.51   0.000    -.3033094
-.1168743
       2010  |  -.0936157   .0365742    -2.56   0.013    -.1667503
 -.020481
       2011  |  -.0351653    .036502    -0.96   0.339    -.1081556
.037825
             |
       _cons |   .3372286    .194194     1.74   0.088    -.0510863
 .7255435
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(2008b.year 2009.year 2010.year 2011.year 2012.year)
  GMM-type (missing=0, separate instruments for each period unless
collapsed)
    L(1/4).(L.lnrevenue lncost)
Instruments for levels equation
  Standard
    2008b.year 2009.year 2010.year 2011.year 2012.year
    _cons
  GMM-type (missing=0, separate instruments for each period unless
collapsed)
    D.(L.lnrevenue lncost)

Do you what I be doing wrong to correct this values?

Many thanks in advance,
Eliano

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