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st: Question on the xtdpd command


From   Narasimhan Sowmyanarayanan <narasimhan.sowmyanarayanan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Question on the xtdpd command
Date   Sat, 4 Sep 2010 16:07:18 -0400

I have a query on the xtdpd command and the specific use of the fod
option to use forward orthogonal deviations as the instrument. In the
specific dataset I am trying to use the fod option, I get the message
"fodeviation is not allowed when there are gaps in the data."  While I
have an unbalanced panel, I did not find any gaps in the data in the
panel. Further, when I do xtset, it does not give me any message that
there are gaps in the panel. My limited experience with this is that
one can estimate the fod option with unbalanced panels ? Atleast this
is what I read in the Roodman (2009) paper in stata journal on How to
do xtabond2. I would appreciate any insights someone can provide on
this. I am not estimating a levels model. Also, I tried using the fod
option using a mock dataset "mus08psidextract.dta"  from Cameron and
Trivedi's most recent textbook with the fod option. That works fine.
the data is a balanced panel though.

Thanks for your time and attention in advance.

Sincerely,
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