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st: Anderson Hsiao and panel data


From   Marcello Pagano <pagano@hsph.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Anderson Hsiao and panel data
Date   Thu, 08 Jun 2006 05:51:06 -0400

Debbie Enders <debbie_enders@yahoo.co.uk> wrote:



Date: Wed, 7 Jun 2006 22:48:55 +0100 (BST)
From: Debbie Enders <debbie_enders@yahoo.co.uk>
Subject: Anderson-Hsiao
To: statalist@hsphsun2.harvard.edu

I would like to implement the Anderson-Hsiao
estimator
in stata for my panel data set. I had though of
doing
this using xtivreg2, fd, but according to a previous
posting


(http://newwww.stata.com/statalist/archive/2004-10/msg00522.html)


this command cannot be used for inference and
hypothesis testing. The only thing I found in the
help
files was the xtlsdvc command which has a
Anderson-Hsiao option, but this takes forever with
large datasets (I still haven't been able to get any
results out) and also doesn't give much flexibility.

Is xtivreg2, fd an appropriate way of implementing
Anderson-Hsiao? Is there any particular way of
specifying it that is necessary? Are the results
useful at all (given the points made in the posting
I
linked to above)? If not, is there any other way of
implementing Anderson-Hsiao in STATA?

Thank you very much for any help!

Debbie







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