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Re: st: observations in xtabond


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: observations in xtabond
Date   Mon, 3 May 2004 13:51:18 +0100

Toni,

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

> 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

The culprits are probably

    country |      Freq.     Percent        Cum.
------------+-----------------------------------
          9 |          6        1.52       36.62
         12 |          4        1.01       50.76
         16 |          5        1.26       69.70
         19 |          4        1.01       81.06

After the loss of observations because of lags and missing values, 
these groups probably drop out completely.  It looks like one other 
does as well.

After the estimation, do

ab country if e(sample)

and you'll see what was used.

--Mark


> toni
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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