Re: st: Issues with xtabond2

["Alan Jenn" <ajenn@andrew.cmu.edu>]

Thank you everyone for your responses!
My model originally used fixed-effects estimation but since one of the 
independent variables is a lagged term of the dependent variable, I believe 
I'm violating the strict exogeneity assumptions which is why I was trying to 
use a dynamic panel estimator such as GMM.  Is there another possible 
approach that you can recommend for dynamic panel estimation?
Thank you very much,
Alan Jenn

--------------------------------------------------
From: "Christopher Baum" <kit.baum@bc.edu>
Sent: Monday, November 28, 2011 11:58 AM
To: <statalist@hsphsun2.harvard.edu>
Subject: re: st: Issues with xtabond2

> <>
> Eric said
>
> 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.
>
>
> Quite so. The rationale for A-B or Anderson-Hsiao is the mitigation of 
> Nickell bias, which can be severe with T<10, as it is a function of 1/T. 
> As T gets large, Nickell bias ls likely to become inconsequential, so that 
> a standard FE approach (or IV-FE, given that you may want to consider some 
> other regresssors endogenous) would probably suffice.
>
> Kit
>
>
> Kit Baum   |   Boston College Economics & DIW Berlin   | 
> http://ideas.repec.org/e/pba1.html
>                             An Introduction to Stata Programming  | 
> http://www.stata-press.com/books/isp.html
>  An Introduction to Modern Econometrics Using Stata  | 
> http://www.stata-press.com/books/imeus.html
>
>
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