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st: xtabond - dropped observations


From   Kristine Watson <kristine_watson@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond - dropped observations
Date   Sat, 13 May 2006 16:55:37 -0700 (PDT)

Hello

I'm trying to figure out a discrepany in the number of
observations reported by xtabond and xtabond2.  For
comparison, I ran basic xtreg, fe.  The number of
observations and groups in the same for the fixed
effects and xtabond2 (Blundell Bond).  However, the
xtabond (Arellano-Bond) reports a different number of
observations.

Having surveyed the Statalist archives, I ran across a
posting that appears related but the solution posted
doesn't seem to apply to my problem.  
www.stata.com/statalist/archive/2002-12/msg00283.html

I have an unbalanced panel with more than 30 years for
each group.  Trying to analysis the impact of panel
length, I then subdivide each group into 3
non-overlapping subgroups.  Here the number of groups
changes as well as the number of observations.

My code:

xi: xtreg mdr mdrl ebit_tal mbl dep_tal lntal fa_tal
rdl rd_tal ffindtargetm  i.year, fe

xi: xtabond mdr ebit_tal mbl dep_tal lntal fa_tal rdl
rd_tal ffindtargetm i.year, robust 

xi: xtabond2 mdr mdrl ebit_tal mbl dep_tal lntal
fa_tal rdl rd_tal ffindtargetm i.year, iv(i.year)
gmm(mdrl mbl ebit_tal lntal, c) robust 


Number of Observations/Groups with Full Panel:
FE - 3115 obs, 117 groups
xtabond - 2955 obs, 117 groups
xtabond2 - 3115 obs, 117 groups

I believe that the difference here is related to the
number of groups, the number of independent variables,
and the year effects 
(117 + 9 + 34 == 160 == 3115 - 2955). 

I am uncertain how to relate the calculation above to
the numbers reported when I use subgroups (below).

Number of Observations/Groups with Subgroups:
FE - 3115 obs, 351 groups
xtabond - 2511 obs, 350 groups
xtabond2 - 3115 obs, 351 groups

If anyone can explain what is going on here, I would
be grateful.

Kristine Hankins




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