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st: RE: matsize is too small for xtabond


From   "Nick Cox" <n.j.cox@Durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: matsize is too small for xtabond
Date   Wed, 29 Jan 2003 09:52:13 -0000

Sara Gabriela Castellanos Pascacio
> 
> 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.

StataSE has a larger limit. In StataSE 8, 
you can have a matsize of 11,000. Naturally, 
someone will have to pay for the upgrade. 

Nick 
n.j.cox@durham.ac.uk 
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