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Re: st: xtabond for unbalanced panel data


From   Suryadipta Roy <sroy2138@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtabond for unbalanced panel data
Date   Tue, 10 Apr 2012 05:58:57 -0400

Rituparna,
I have used xtabond2 and found the following papers by the author of
the code (David Roodman) to be very useful for the practioners. You
would probably find the answers to your queries in these papers.

1. Roodman, D. ‘How to do xtabond2: an introduction to Difference and System
GMM in Stata’, Stata Journal, 9(1), 2009.
2. A Note on the Theme of Too Many Instruments, Oxford Bulletin of
Economics and Statistics, 71, 1 2009.

Best wishes,
Suryadipta.

On Tue, Apr 10, 2012 at 2:29 AM, Rituparna Basu <basur@pamfri.org> wrote:
> Dear Statalist scholars,
>
> I am attempting to run the xtabond command in an unbalanced panel data. But I am not sure how should I decide on the # of lags for dependent variable given that it is unbalanced and many of them have only observation. Should I delete those with only one to two observations? Also, is it necessary to mention the maximum # of lags for the dependent variable?
> Any advice is highly appreciated!
>
> Thank you !
> Sincerely,
>
> RB
>
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