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Re: st: xtabond problem

From   "David M. Drukker, StataCorp" <[email protected]>
To   [email protected]
Subject   Re: st: xtabond problem
Date   Fri, 01 Jul 2005 10:31:08 -0500

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

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.

       [email protected]

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