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st: xtabond2 memory problems


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 memory problems
Date   Wed, 12 Oct 2005 15:02:43 -0400

Kevin writes

I'm using xtabond2 to run some regressions. My panel dataset contains 1674
observations with data for each state by year and quarter. Not all states
have observations for each quarter.

When I attempt to run the regression:

xtabond2 Investment l.Investment pi, gmm(l.Investment)

I get an error stating:

".no room to add more variables due to width


The nature of Arellano-Bond estimation is to create a huge number of instruments, each of which is a separate variable in Stata terms. Try constraining the lags allowed for GMM instruments to, say, lags 3 through 5. That should drastically reduce the number of instruments and make your problem feasible.

A-B is really made for "small T, large N"; you presumably have 50 states and about 33 quarters per state. That is a huge number in terms of A-B, which often is used for T=7 or 8.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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