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st: RE: ask for help about xtabond!


From   "Gustavo Sanchez" <gsanchez@stata.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ask for help about xtabond!
Date   Tue, 9 Aug 2005 17:03:41 -0500

Emily <huangli_9@yahoo.com> asks why if the default for the number of lags
of the dependent variable to be included in the -xtabond- specification is
one,
 the estimation output reports a number of observations that is reduced by
an
amount equivalent to two lags.


>In xtabond command, the default for lags is one lag. But when I was running
the
>command below, the results obviouly show 2 lags. (totally 337 obs,after
using
>xtabond, I only got 207 obs). Could someone tell me why?

The Arellano-Bond methodology is based on the estimation of a first
difference
equation derived from the original dynamic panel data model (in levels).
Therefore,
the first observation of each panel is missing due to first-differencing the
model,
whereas the second observation is missing due to the inclusion of one lag of
the
dependent variable on the right hand side of the equation. Thus, given that
Emily
has 65 panels, the number of observations available for the -xtabond-
estimation
is: 207 (=337-65*2)

--Gustavo
  gsanchez@stata.com


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