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st: xtabond and dropped year dummies


From   abhat004@student.ucr.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond and dropped year dummies
Date   Sun, 2 Sep 2007 23:35:42 -0700 (PDT)

Dear All,
I am trying to estimate a dynamic panel data model with the command xtabond. My data is for 43 firms observed over 8 years. To estimate my model, I am using the following command:

xtabond y x yeardum2 yeardum3 yeardum4 yeardum5 yeardum6 yeardum7 yeardum8, lags(1) maxldep(2) artests(2)

where x specifies all the strictly exogenous variables ( total of 9 variables for my model). My model does not have any predetermined variables and I did tsset my data before running the regression. However, in the estimation result I find yeardum2 and yeardum4 are dropped due to collinearity. I do not understand why this is happening and how can I solve the problem. I need to know the estimated coefficients of the yeardummies for my work. Can anyone help me in this regard? I shall really appreciate any suggestions and/or guideline to solve this problem.
Thanks
Aditi

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