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st: re: xtabond


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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
specified
r(451);





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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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