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st: matsize is too small for xtabond


From   "Sara Gabriela Castellanos Pascacio" <[email protected]>
To   <[email protected]>
Subject   st: matsize is too small for xtabond
Date   Tue, 28 Jan 2003 19:30:38 -0600

Hi!

I am estimating a model with the xtabond command and find the current
restriction of 800 matsize binding and inadequate for my analysis.  The
reason is that at such size I am forced to constrain the maximum number of
lags of the dependent variable that can be used as instruments quite below
benchmark of T_i-p-2 (proposed for the Arellano-Bond estimators). My data
consists of i=202 cross sections and t=87 time periods. For a starter, this
wouldn't seem a too large dataset to estimate a model with p=12 lags of the
dependent variables, two exogenous/predetermined variables, and
cross-section and time dummies as:

y_it =  y_(it-1)a_1 + ... + y_(it-p)a_p + x_(it)b_1 +  v_i + w_t + e_(it)

Suggestions to overcome this matsize constraint are welcome.  In fact, I
switched to STATA 7 from GAUSS where I was using the DPD98.  At this moment,
I wonder if I should switch back to GAUSS.

Best regards and thanks for your attention,

Sara


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