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st: re: missing observations in xtabond/xtabond2

From   Kit Baum <>
Subject   st: re: missing observations in xtabond/xtabond2
Date   Mon, 15 May 2006 10:02:41 -0400

In a posting yesterday I suggested that xtabond and xtabond2 routines might have problems with gaps in the timeseries within one or more panels. The implementations of DPD in Ox and GAUSS certainly have such problems (as the author of one of those routines has told me). I have been assured that official Stata's xtabond does not suffer from this flaw (it was revised some time ago to correctly handle internal gaps). I cannot say whether the user-written xtabond2 is sensitive to this issue. Essentially the challenge is to recognize that an 'interrupted' time series for a single unit still corresponds to a single unit's data, and does not reflect two different units' data. Perhaps David Roodman can speak to this issue with respect to his xtabond2 implementation.

A more precise statement would be that the A-B (and B-B) estimators can be defined for interrupted time series, but not all implementations of A-B or B-B will deal appropriately with such a data set.


Kit Baum, Boston College Economics

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