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st: xtabond2 with averaged variables in order to keep T small


From   Caterina Astarita <lasta01@students.bbk.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 with averaged variables in order to keep T small
Date   Tue, 21 Sep 2010 10:35:59 +0100 (BST)

Dear Statalisters, 

I have a panel dataset with N = 19 and T = 14 
my independent variable are 7 plus the time dummies. 
Since I'm running a GMM system one step estimator with xtabond2, 
even using collapse and taking only the most recent lags I have problems 
with proliferation of instruments. I have tried to make averages of three year each 
for all the variable, thus reducing the period from 14 to 5 and now results 
are really better also in terms of diagnostic. 
Is that a plausible procedure? 


Thank you 

Caterina 
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