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st: Issues with xtabond2


From   "Alan Jenn" <ajenn@andrew.cmu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Issues with xtabond2
Date   Sun, 27 Nov 2011 20:34:29 -0500

Hello,
I am trying to perform a regression using the GMM estimator with the
xtabond2 function.  I have panel data with about 25,000 observations, 430
groups (unbalanced), and 132 time periods.  My model is of the form:
s(i,t) = s(i,t-1) + p(i,t) + x(i,t) + error (without coefficients)
Where s is my dependent variable, p are my variables of interest, and x are
my control variables.  My Stata command to implement xtabond is essentially
as follows (after implementing xtset for i and t):
xtabond2 s l.s p x, gmm(l.s) iv(p x) robust
However, whenever I try running this command I receive the following error:

J():  3900  unable to allocate real <tmp>[8788,8788]
xtabond2_mata():     -  function returned error
<istmt>:     -  function returned error
r(3900);

I have tried allocating more memory using the set memory command and by
turning virtual memory on but Stata doesn't allow me to give much more than
1 gb of memory.  Is my syntax incorrect for xtabond2 or are there other
possible ways to implement the GMM estimator?  Any assistance would be
greatly appreciated!
Thank you very much,
Alan Jenn
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