Thank you Nicola for the useful suggestion, I think -xtlsdvc- might be a good alternative to -xtabond-.
Date: 02/03/08 21:03:48
Subject: Re: st: Panel with N=T xtabond2 or xtreg with LDP?
You may have a look at -xtlsdvc- from ssc and Bruno, G.S.F. 2005. Estimation and inference in dynamic unbalanced panel data models with a small number of individuals. CESPRI WP n.165 , Università Bocconi-CESPRI, Milan. The paper compares -xtlsdvc- with different estimators in different settings, among which there is the case N=T_bar=20 (T_bar is the average group size for unbalanced panel).
As a second-best, you may also have a look at -xtpmg-: Pesaran et al. (Journal of the American Statistical Association, 94(446): 621–634) think N=24 and T=32 are both quite large, while N=10 and T=17 are both quite small.
At 02.33 31/01/2008 -0500, "Ivan Etzo" wrote:
> Dear all,
>I estimated a panel with N=20 and T=20 using both -xtreg- fe. In order to
>include the LDP as regressor and to test the suspected endogeneity of
>another one I tried -xtabond2-.The problem is that the latter should be used
>for large panel with short T, that is when N is very large and T is
>relatively small. The well known problem here is the number of instruments
>which is very big compared with the panel size (more than 200 instruments)
>and can overfit the results. After carefully reading David Roodman paper
>How to do xtabond2" and the related note on the "Theme of too many
>instruments" problem, I tried the different options (lags limit and collapse
>options) in order to reduce the number of instruments. As expected the
>significance of my regressors change as the number of instruments decreases,
>making them not significant at all when I reduce considerably the number of
>instruments (ten with all the restrictions).
>Now the point is that using -xtreg- with LDP the results are fine nd close
>to those obtained without the LDP, but my wish was to use the -xtabond2- for
>the sake of robustness. Moreover, considering that without limiting the
>number of instruments I get the same results as using -xtreg- fe, does it
>mean that also the Within Group FE estimation is not reliable?
>Any comment would be greatly appreciated
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