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| From | DE SOUZA Eric <eric.de_souza@coleurope.eu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: RE: Issues with xtabond2 |
| Date | Mon, 28 Nov 2011 17:31:05 +0100 |
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 * * 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/ * * 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/