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st: observations in xtabond


From   "Antonio Rodrigues Andres" <ara@sam.sdu.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: observations in xtabond
Date   Mon, 03 May 2004 14:12:20 +0200

I am using xtabond command in STATA. I specify a simple dynamic model
xtabond y, maxldep(1). This means that I use as intrument yt-2. My panel
is unbalanced and countries are not observed consecutively. The pattern
is 
ab country

    country |      Freq.     Percent        Cum.
------------+-----------------------------------
          1 |         14        3.54        3.54
          2 |         21        5.30        8.84
          3 |         11        2.78       11.62
          4 |         26        6.57       18.18
          5 |         20        5.05       23.23
          6 |         24        6.06       29.29
          7 |          9        2.27       31.57
          8 |         14        3.54       35.10
          9 |          6        1.52       36.62
         10 |         21        5.30       41.92
         11 |         31        7.83       49.75
         12 |          4        1.01       50.76
         13 |         20        5.05       55.81
         14 |         31        7.83       63.64
         15 |         19        4.80       68.43
         16 |          5        1.26       69.70
         17 |         14        3.54       73.23
         18 |         27        6.82       80.05
         19 |          4        1.01       81.06
         20 |         27        6.82       87.88
         21 |         48       12.12      100.00
------------+-----------------------------------
      Total |        396      100.00

when running xtabond command appears the following output
xtabond y, maxldep(1)

llano-Bond dynamic panel-data estimation     Number of obs      =      
244
Group variable (i): country                     Number of groups   =    
   16

                                                Wald chi2(1)       =    
60.15

Time variable (t): year                         Obs per group: min =    
    1
                                                               avg =    
15.25
                                                               max =    
   46

One-step results
------------------------------------------------------------------------------
lsrt         |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
lsrt         |
          LD |   .6781621   .0874415     7.76   0.000       .50678   
.8495443
_cons        |   -.000442   .0010119    -0.44   0.662    -.0024252   
.0015413
------------------------------------------------------------------------------
Sargan test of over-identifying restrictions:     
         chi2(46) =    75.90      Prob > chi2 = 0.0036

I loose two observations after taking lags and first differences. I dont
see why the number of groups is 16.

Any thoughts
toni
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