I am trying to use XTABOND to estimate a dynamic panel data model. The
data consist of three yearly observations (1999-2001) on a sample of
approximately 140,000 individuals. When I attempt to run XTABOND using a
single lagged dependent variable and two other exogenous variables as
regressors:
. xtabond nrtrscre charter nschools, lags(1)
I get the following error message:
too many lags of the dependent variable requested
lags() must be beween 1 and 0
r(198);
I ran a trace and got the following:
- local tvar `t'
= local tvar year
- if `lags' >= `tmax'-`tmin'-1 {
= if 1 >= 2001-1999-1 {
- di as error "too many lags of the dependent variable requested"
too many lags of the dependent variable requested
- di as error "lags() must be beween 1 and " `tmax'-`tmin'-2
= di as error "lags() must be beween 1 and " 2001-1999-2
lags() must be beween 1 and 0
- exit 198
It appears that STATA is requiring a minimum of four time periods to run
the model with a single lagged dependent variable. It is my understanding
that the Arellano-Bond estimator can be run with as few as 3 time
periods. In fact, I have run the Arellano-Bond estimator using this
3-period data set in both Ox-DPD and Limdep and was able to obtain
results. I am a STATA neophyte, so perhaps I have missed something in
setting up the data. Any help in figuring out what is wrong would be
greatly appreciated.
Tim
Tim R. Sass
Professor Voice: (850)644-7087
Department of Economics Fax: (850)644-4535
Florida State University E-mail: [email protected]
Tallahassee, FL 32306-2180 Internet:
http://garnet.acns.fsu.edu/~tsass
