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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
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

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html


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