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st: xtabond and dropped year dummies


From   "Aditi Bhattacharyya" <aditibhattacharyya@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond and dropped year dummies
Date   Mon, 3 Sep 2007 09:13:49 -0700

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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