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st: Anderson Hsiao Estimator

From   Gianluca Consoli <>
Subject   st: Anderson Hsiao Estimator
Date   Fri, 12 Mar 2010 11:58:38 +0000


I'm trying to correct for Nickell bias in my panel regression and need to
estimate a dynamic panel. I have tried to estimate this using xtladvc
however am not sure this is the correct syntax to implement an
Anderson-Hsiao type regression. My sample size is T=16, n=7 therefore should
be well suited to this type of model. Any help on the required syntax to
obtain efficient results would be appreciated



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