Dear all,
I have a balanced panel dataset with T=3 and N=53 and I would like to
estimate y_i,t = a + b y_i,t-1 + c x_i,t + d y_t + e_i + v_i,t. x_i,t
is predetermined, but maybe to be relaxed, and y_t are time dummies.
I have tried the Anderson-Hsiao estimator and I know about the
problems related with this estimator. So I wanted to try difference
and system GMM, but in the first case I get that all the variables
are collinear and so does not estimate anything, while in the second
case it does not estimate anything apart from the estimates
themselves (so no standard errors nor anything related to them).
Therefore, I was wondering if the problem lies in the fact that T is
only = 3 or with my code, which is the following:
xtabond2 y l.y x1 x2 y2 y3, gmm(y, lag(2 2)) iv(x1 x2 y2 y3) nolevel
small
Thank you very much for your help.
Best,
Mauro
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