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Re: st: dynamic panel models with fixed effects


From   aykut.lenger@ege.edu.tr
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: dynamic panel models with fixed effects
Date   Mon, 10 Jul 2006 13:26:56 +0300 (EEST)

After looking at Arellano and Bond (1991) paper, you can use the xtabond
command in stata.

Please look at Arelano-Bond estimates, the paper can be seen in Reveiw
> of Economic Studies, 1991. Estimation of Dynamic Panel data.
> Parameswaran
>
> On 08/07/06, Tomislav Kovandzic <tkovandzic@bham.rr.com> wrote:
>> Dear List,
>>
>> I'm working with state panel data for roughly 30 years and estimating a
>> fixed-effects model with a lagged dependent variable on the right-hand
>> side to address autocorrelation.  Several colleagues have informed me
>> that including a lagged dependent variables on the RHS when utilizing a
>> fixed-effects model is simply a no-no, i.e. such estimations yield
>> inconsistent estimates.  My question is whether the inconsistency dies
>> away as the number of time-periods goes off to infinity?  If so, are
>> there any rules of thumb as to how many time periods are needed to
>> mitigate the problems described above.  A reference would be much
>> appreciated.  If the estimates are inconsistent regardless of the number
>> of time-periods, can someone offer an alternative approach to correcting
>> for autocorrelation when using a fixed-effects model?  Would cluster
>> robust standard errors do the trick?  Thanks in advance.
>>
>> Best,
>>
>> Tom
>>
>>
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>>
>
>
> --
> ___________________________________
> M. Parameswaran,
> Research Associate,
> Centre for Development Studies,
> Prasanth Nagar Road, Ulloor.
> Trivandrum - 695 011,
> Kerala, India.
> Phone: +91-471-2448881 (O)
>             +91 - 09446506388 (mobile)
> e-mail: parameswaran@cds.ac.in
>            mpeswaran@gmail.com
> *
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>



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