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st: Anderson-Hsiao

From   Marcello Pagano <>
From   Debbie Enders <>
Subject   st: Anderson-Hsiao
Date   Wed, 07 Jun 2006 22:19:52 -0400

Subject: Anderson-Hsiao

I would like to implement the Anderson-Hsiao
estimator > in stata for my panel data set. I had though of
doing this using xtivreg2, fd, but according to a previous


this command cannot be used for inference and
hypothesis testing. The only thing I found in the
files was the xtlsdvc command which has a
Anderson-Hsiao option, but this takes forever with
large datasets (I still haven't been able to get any
results out) and also doesn't give much flexibility.

Is xtivreg2, fd an appropriate way of implementing
Anderson-Hsiao? Is there any particular way of
specifying it that is necessary? Are the results
useful at all (given the points made in the posting
linked to above)? If not, is there any other way of
implementing Anderson-Hsiao in STATA?

Thank you very much for any help!


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