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st: AW: dynamic panel for small N, large T


From   "Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: AW: dynamic panel for small N, large T
Date   Tue, 13 Dec 2011 14:17:57 +0100

Dear Abdullah,

you may run into problems of too many instruments, as the number of instruments increases with T.
You can use laglimits to reduce the instrument count, however with such a small number of individuals, I don't know if it works.
Alternatively, you might try a FE estimator as dynamic panel bias diminishes with large T.
(Keep in mind that differencing data throws away a lot of information. This is done in both difference and system GMM I think)

Best, Jan

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von A. Berâ
Gesendet: Tuesday, December 13, 2011 10:46 AM
An: statalist@hsphsun2.harvard.edu
Betreff: st: dynamic panel for small N, large T

Dear Stata Users,

I have panel data with N=10, T=50. I would like to estimate a dynamic
panel but as I understand Arellano/Bond type estimators are for large
N, small T.

Can I use these estimators for my data or what is the best way to
proceed? Thanks a lot for any help.

--
abdullah berâ

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