Hello. I am not sure whether I can use Arellano-Bond method together with DiD specification. Is it possible? I think it can be done, but does it make sense?
Please give some comments!!
The sample period is from 2005 to 2011. Using the 2008 crisis that causes a group A of firms negative effects as the natural experiment, I set up a DiD specification: y_it = b_it+crisis_year_dummy_t + crisis_year_dummy_t*groupA_dummy+X_it. Then I add y_it-1 as independent variable as the Arellano-Bond Difference GMM. Is it possible?
Please give some comments!!
The sample period is from 2005 to 2011. Using the 2008 crisis that causes a group A of firms negative effects as the natural experiment, I set up a DiD specification: y_it = b_it+crisis_year_dummy_t + crisis_year_dummy_t*groupA_dummy+X_it. Then I add y_it-1 as independent variable as the Arellano-Bond Difference GMM. Is it possible?