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st: re: xtabond

From   Kit Baum <>
Subject   st: re: xtabond
Date   Thu, 9 Aug 2007 16:27:33 -0400

I want to have arellano-bond estimator in my panel data analysis. I know
the xtabond does the job, but, when I used it in my stata programming, it
always gave me the wrong message. For example:

. tsset prov time;
panel variable: prov (unbalanced)
time variable: time, 1978 to 1998, but with gaps

. xtabond g_lypcc pop100cr a_pol inst, lags(2);
timevar (time) may not contain missing values when option full is

I cannot reproduce this problem. I did 'webuse abdata' and removed a number of observations at random from the middle of the timeseries, creating gaps, so that I get

. tsset
panel variable: id (unbalanced)
time variable: year, 1976 to 1984, but with gaps
delta: 1 unit

. tsreport, list panel

Observations with preceding time gaps
Record | id year
37 | 6 1979
92 | 14 1981
234 | 34 1983

. xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2)

The xtabond command still runs fine in the presence of gaps in the middle of units' time series.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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