Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: Anderson-Hsiao


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Anderson-Hsiao
Date   Thu, 8 Jun 2006 15:48:45 +0100

Debbie,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Marcello Pagano
> Sent: 08 June 2006 03:20
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Anderson-Hsiao
> 
> > 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 Statalist posting above refers to xtivreg, not xtivreg2.  It's
possible that the problem with the former can be gotten round with the
latter (by using SEs robust to serial correlation).  But perhaps Jean
Salvati, who is the author of the original posting and very well versed
in these things, might want to comment.

Cheers,
Mark

> 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
> >
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
> 

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index