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st: RE: Anderson Hsiao Estimator


From   Rodolphe Desbordes <rodolphe.desbordes@strath.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Anderson Hsiao Estimator
Date   Fri, 12 Mar 2010 18:34:36 +0000

Dear Gianluca,

Have a look at David Roodman's paper http://www.stata-journal.com/article.html?article=st0159, where the estimators for dynamic panel data models are very well exposed.

Best regards,

Rodolphe


________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Gianluca Consoli [ggc23@cam.ac.uk]
Sent: 12 March 2010 11:58
To: statalist@hsphsun2.harvard.edu
Subject: st: Anderson Hsiao Estimator

Hi

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

Thanks

Gianluca

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