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st: Re: xtabond2 - what does large N mean?

From   "Rodrigo A. Alfaro" <>
To   <>
Subject   st: Re: xtabond2 - what does large N mean?
Date   Wed, 9 May 2007 14:29:25 -0400


N means number of groups, countries in your case. Your N (160) is fine for few periods (T), maybe less than 8. You could check that the AB estimator is not appropriate for T large. See 2 econometrica papers: Hahn-Kuersteiner (2002) and Alvarez-Arellano (2003). Likely to find the working papers on the web.


----- Original Message ----- From: "tutor um" <>
To: <>
Sent: Wednesday, May 09, 2007 2:03 PM
Subject: st: xtabond2 - what does large N mean?

Hello everybody,

I am trying to use xtabond2 for a panel dataset of around 160 countries.

In the paper "How To Do xtabond2"
( Roodman on page
1 (line 2) refers ro large N panels.

Quote: "Both are general estimators designed for situations with 1)
"small T, large N" panels,
meaning few time periods and many individuals; ..."

I am wondering what exactly is meant by N?

Is it the number of observations in the panel (in my case around 800)?
Or is it the number of Groups (in my case the countries) in the panel?

Also in what respect is N meant to be compared?

xtabond2 warns if the number of instruments is too big. Does that in
reverse mean everything is fine if it doesn´t?
Are the results not suitable for interpretation at all if a warning
has been displayed while estimating? Or is it a hint for extra caution
when interpreting results since they are displayed anyways.

I hope someone can help me with my questions.
Thank you so much for your help!

Andreas Marns

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