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st: xtabond2 year dummies
From
Humaira Asad <[email protected]>
To
STATA HELP <[email protected]>
Subject
st: xtabond2 year dummies
Date
Fri, 1 Apr 2011 14:08:17 +0000
Hi,
In a dynamic model (I am using xtabond2) is it necessary to add the year dummies, because when I add the year dummies the number of instruments becomes much larger than the number of groups, the coefficients of the regressors become insignificant and the difference in Hansen test for dummy years become 1. I am using the windmeijer’s corrected s.e.
Humaira Asad
PhD Research Scholar
UoE Business School
University of Exeter, England
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