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

From   Christopher Baum <>
To   "" <>
Subject   re:st: dynamic panel for small N, large T
Date   Tue, 13 Dec 2011 13:49:31 -0500

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.

With that configuration of panel data I would suggest using a SUR estimator (sureg). You can impose (testable) constraints across equations if you wish. If each unit's equation can be consistently estimated with OLS, then you can estimate a model for all units with SUR.


Kit Baum   |   Boston College Economics and DIW Berlin   |
An Introduction to Stata Programming   |
An Introduction to Modern Econometrics Using Stata   |

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