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st: RE: Dynamic Panel Data Analysis with T=3

From   "Rodrigo Alfaro A." <>
To   <>
Subject   st: RE: Dynamic Panel Data Analysis with T=3
Date   Mon, 28 Jul 2008 15:52:55 -0400


AH should be the same as AB in levels... so you have only one valid
instruments. I don't see any advantage to try AB system inm your case
(actually in none). Anyway, you could use xtabond directly. Rodrigo.


-----Mensaje original-----
[] En nombre de Mauro Caselli
Enviado el: Lunes, 28 de Julio de 2008 12:40 p.m.
Asunto: st: Dynamic Panel Data Analysis with T=3

Dear all,

I have a balanced panel dataset with T=3 and N=53 and I would like to
estimate y_i,t = a + b y_i,t-1 + c x_i,t + d y_t + e_i + v_i,t. x_i,t is
predetermined, but maybe to be relaxed, and y_t are time dummies.
I have tried the Anderson-Hsiao estimator and I know about the problems
related with this estimator. So I wanted to try difference and system
GMM, but in the first case I get that all the variables are collinear
and so does not estimate anything, while in the second case it does not
estimate anything apart from the estimates themselves (so no standard
errors nor anything related to them).  
Therefore, I was wondering if the problem lies in the fact that T is
only = 3 or with my code, which is the following:
xtabond2 y l.y x1 x2 y2 y3, gmm(y, lag(2 2)) iv(x1 x2 y2 y3) nolevel

Thank you very much for your help.



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