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I am a new user of STATA. I am trying to run a dynamic panel data model for
cobb-douglas production function using xtabond command. I have year dummies in
the model as well. When I run the model, first three year dummies are dropped
due to collinearity. Could anyone explain why should this happen? I was
expecting only one dummy variable to be dropped. Also, is there a way to specify
lags of variables, say t-2 and and not t-1, for instruments?
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