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 <[email protected]> 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
>>
>>
>> *
>> * 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/
>>
>
>
> --
> ___________________________________
> 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: [email protected]
> [email protected]
> *
> * 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/
