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RE: st: LSDVC with small T and small N with Endogenous Regressors
From
DE SOUZA Eric <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
RE: st: LSDVC with small T and small N with Endogenous Regressors
Date
Tue, 20 Aug 2013 09:29:59 +0200
I also found -xtlsdvc-. I don't think that suits his needs because it supposes an autoregressive model with the other explanatory variable being strictly exogenous. I deduced from his description that he had an endogenous explanatory variable other than the lagged dependent variable.
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Nick Cox
Sent: 19 August 2013 20:19
To: [email protected]
Subject: Re: st: LSDVC with small T and small N with Endogenous Regressors
Is -xtlsdvc- what you want? A -search- reveals locations in SJ and SSC archives. The -xt- prefix is natural given the panel application.
Nick
[email protected]
On 19 August 2013 16:24, sumaya ali brahim <[email protected]> wrote:
> I have a dynamic panel (small N=16 and small T=9) and one endogenous
> regressor. I did use the xtabond2, but know it is biased for small N and T.
> In this case I need the LSDVC (written by Giovanni Bruno) with one
> endogenous regressor..but it looks like it doesn't exist. In
> particular I cannot find: Bruno G., 2006, "A comparison analysis of
> dynamic panel-data estimators in the presence of endogenous
> regressors"..I did send him several emails, but he never replied..
> The question is: does this paper exist or Bruno never published it?
> and apart from this paper, has been the extensions of the LSDVC
> estimator to the case of non-exogenous explanatory variables derived?
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