Rashmi Shankar <[email protected]> has a panel dataset with many
observations per panel. When Rashmi runs -xtabond- on this dataset, the
estimation takes a long time.
The Arellano-Bond estimator was designed for datasets with a small number of
observations per panel. For datasets with many observations per panel, one
can use -xtivreg-.
As noted at the bottom of page 37 of the XT manual, the number of
instruments used in the Arellano-Bond estimator grows rapidly with the
number of observations per panel, causing the estimation to take a long
time.
Rashmi could use the -maxldep()- to limit the number of lags for which
instruments are created. However, datasets with lots of observations per
panel have too many instruments, even when setting -maxldep(1)-.
If Rahsmi has lots of observations per panel, I suggest that Rashmi look at
[XT] xtivreg for an example of another estimator for the same parameters.
--David
[email protected]
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