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Re: st: arellano bond with clustering

From   [email protected]
To   [email protected]
Subject   Re: st: arellano bond with clustering
Date   Sat, 19 Jan 2008 18:45:58 +0100

If I forget the panel/dynamic nature of your data, your problem recall me of mixed models (-xtmixed- and -gllamm- from ssc).

At 02.33 17/01/2008 -0500, you wrote:
>Hi friends.  I am hoping I could bother you all with an eocnometrics question
>that has been stumping me.
>I am running an estimating equation of the following form in stata:
>Yist = Yist-1 + Zist + Xst + error
>To estimate this dynamic equation on a panel with short T, I use the
>Arellano-Bond technique (xtabond2). However, my variables of interest  
>are the Xs  and they are aggregared at the sector level (while other  
>variables are
>at the micro, firm level) so there is the possibility that the
>standard errors on the Xs are over-precise. However, there is no easy
>way to combine clustering with Arellano-Bond in stata. I was wondering
>if you could offer a way around this problem...? Thanks very much!
>Guru Sethupathy
>- -- 
>Prasanna (Guru) Sethupathy
>Economics, Ph.D.
>Columbia University
>[email protected] 

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