st: RE: Issues with xtabond2

[DE SOUZA Eric <eric.de_souza@coleurope.eu>]

I just came back to look at your post more closely. With 132 observations and the  gmm option without any limit on the number of lags, you are generating a huge number of instruments. This is creating numerical problems. Even if it were not, this affects the staistical efficiency of your results. You may want to try fixed effects, relying on large T theory.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Alan Jenn
Sent: 28 November 2011 02:34
To: statalist@hsphsun2.harvard.edu
Subject: st: Issues with xtabond2

Hello,
I am trying to perform a regression using the GMM estimator with the
xtabond2 function.  I have panel data with about 25,000 observations, 430 groups (unbalanced), and 132 time periods.  My model is of the form:
s(i,t) = s(i,t-1) + p(i,t) + x(i,t) + error (without coefficients) Where s is my dependent variable, p are my variables of interest, and x are my control variables.  My Stata command to implement xtabond is essentially as follows (after implementing xtset for i and t):
xtabond2 s l.s p x, gmm(l.s) iv(p x) robust However, whenever I try running this command I receive the following error:

J():  3900  unable to allocate real <tmp>[8788,8788]
xtabond2_mata():     -  function returned error
<istmt>:     -  function returned error
r(3900);

I have tried allocating more memory using the set memory command and by turning virtual memory on but Stata doesn't allow me to give much more than
1 gb of memory.  Is my syntax incorrect for xtabond2 or are there other possible ways to implement the GMM estimator?  Any assistance would be greatly appreciated!
Thank you very much,
Alan Jenn
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