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st: Error? xtdpdsys assigns explanatory power to fixed effects


From   Lara K <larasusannakrugman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Error? xtdpdsys assigns explanatory power to fixed effects
Date   Tue, 8 Nov 2011 22:57:37 +0100

I'm estimating a dynamic panel model using the xtdpdsys command in Stata 11. The problem I find is that if you include a dummy for a panel variable (country, factory, individual) xtdpdsys assigns explanatory power to this dummy.
According to the idea of the estimator it should obviously not do this as observation entity specific fixed effects are an integral part of the estimator. To make this point clear I have this example using Stata data:


use http://www.stata-press.com/data/r11/abdata
gen seven=0
replace seven=1 if id==7
xtset id year

xtabond n L(0/2).(w k) yr1980-yr1984 year seven, vce(robust)
xtdpdsys n L(0/2).(w k) yr1980-yr1984 year seven, vce(robust)


xtabond is doing what it should do and omits the entity specific 'seven'
xtdpdsys estimates some coefficient it shouldn't.

Is this already a known problem? Or isn't it a problem at all?
Cheers Lara
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