Roberto Zanola <[email protected]>:
> Dear all,
> we need to estimate a dynamic short panel (T=6 and N=20). Two possibilities:
> (1) lsdvc
This is implemented in Stata by the user written code -xtlsdvc-.
It behaves relatively better than IV-GMM estimators in small panel
data-sets, in terms of both bias and root mean squared error,
but needs strictly exogeneity of regressors and neither
heteroskedasticity or serial correlation of disturbances.
> (2) ivreg2 with dummies
I'm not clear what estimator Roberto has in mind in this
case. -ivreg2- is a flexible routine that can implement many
IV estimators and tests, and clearly not all of them are appropriate
methods for dynamic models. A simple N-consistent estimator for
dynamic panel data models that can be supported by -ivreg2- is that
developed by Anderson and Hsiao (1982). It is carried out by taking
variables in first-differences and using the dependent variable
lagged two times, y(t-2), as an instrument for Dy(t-1). One can
also deal with endogenous x's in this case, provided valid instruments
are available. However, Monte Carlo evidence demonstrates that the AH
estimator, although virtually unbiased, is rather imprecise in
small samples (very large root mean squared error).
References
Anderson, T. W. and C. Hsiao. 1982. Formulation and Estimation
of Dynamic Models Using Panel Data. Journal of Econometrics
18: 570�606
Roberto may also find it useful my paper on small panel data-sets,
downloadable from
http://ideas.repec.org/p/cri/cespri/wp165.html
Giovanni
(author of -xtlsdvc-)
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, Universit� Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
