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st: dropped from div() using xtabond or xtdpdsys


From   Mike McDonald <mimcdonald03@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: dropped from div() using xtabond or xtdpdsys
Date   Wed, 4 Jul 2012 11:23:21 -0400

Hi all,

I'm new to panel data methods in STATA and have a question. Using
xtabond and xtdpdsys I get a note accompanying the output that says
"ip dropped from div() because of collinearity". The variable ip is
one of my primary explanatory variables. I am trying to understand this note.

As best I can tell, STATA is telling me that the variable was dropped
from the difference equation. But I'm not sure what the implications
of this are.

What exactly does that mean? Does it matter? And most importantly,
does it affect the coefficient and significance test of the ip
variable in the regression results?

Thanks!

Mike McDonald
University of Maryland
mkm@umd.edu
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