Dear all,
I have a panel of 15 countries, 40 years of data. I want to estimate the effect of a number of variables on growth rates.
After running xtserial I believe I have an autocorrelation problem. I have pasted the output in case I interpreted this wrongly:
xtserial GDPgrowth_copr Population Open Output_thkm Delta_inf Deltadef
Wooldridge test for autocorrelation in panel data
H0: no first-order autocorrelation
F( 1, 10) = 141.386
Prob> F = 0.0000
To address this issue, I want to run a dynamic. However including a lagged endogenous variable (in this case growth [ i t-1] makes the FE estimator I'd like to use inefficient. I know Kiviet (1995) proposed a way to correct the bias induced by the inclusion of the lagged variable. How can I implement this correction with Stata?
I tried with the -xtlsdvc- command, but the initial estimation has to be either ah, xtabond or xtabond2, not xtreg,fe. I tried to retrieve my results from xtreg, fe and put them in the "my" matrix form but did not succeed. Any help would be greatly appreciated.
In addition to that, I was wondering if I had to change my estimation strategy if I estimated my model for only ten years of data (in this case N>T), or is the bias corrected FE estimator still valid and more efficient than GMM for instance?
Also how many dependent variables can be included in xtlsdvc? and is the lagged variable automatically included?
Thanks in advance,
Olfa
_________________________________________________________________
Hotmail® has a new way to see what's up with your friends.
http://windowslive.com/Tutorial/Hotmail/WhatsNew?ocid=TXT_TAGLM_WL_HM_Tutorial_WhatsNew1_052009
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
