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Some more information regarding a message I sent yesterday. I am running a
panel data model using xtabond as follows -
xtabond yitwit, lags(1) maxldep(3) maxlags(3) diffvars(dum1 dum2 dum3 dum4 dum5
dum6 dum7 dum8 dum9 dum10) inst(llabour lllabour) pre(kitwit , endogenous )
where yitwit = output per labour, kitwit=capital per labour and dummies are for
time periods. I have ladded agged values of labour as additional instruments.
In the results, 3 dummies are dropped due to collinearity.Also, the Sargen test
gives poor results. I have tried varying the max lagsto be used as instruments.
Could anyone suggest what am I doing wrong?
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