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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