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st: GMM and "few observations" error... with same N sometimes it works sometimes it does not


From   "Claudio Baccianti" <baccianti@zew.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: GMM and "few observations" error... with same N sometimes it works sometimes it does not
Date   Thu, 11 Jul 2013 10:56:10 +0200

Dear Stata users,
 
I encountered the "cannot have fewer observations than parameters"
error message when running the GMM command, both on Stata 12.1 and 11.2
(Windows 32bit).
 
I have a loop that runs the GMM on N separate sectoral datasets. Each
dataset represents a panel for one sector and they all have the same
number of observations. The loop works fine until one point, when it
stops giving the error message r(2001) "cannot have fewer observations
than parameters". The sector that gets stuck has 378 obs, exactly the
same number of the previous successful ones. That is really strange.
 
Here is the gmm command I am using:
 
...
foreach j of local sector{
use datasect`j', clear
[...]
gmm (eq1:Y1 - {b1}*X1 - {du1: c1-c26}) (eq2:Y2 - {b1}*X2 - {du2:
c1-c26}) (eq3:Y3 - {b1}*X3 - {du3: c1-c26}), instruments(eq1: L1.X1
c1-c26, noconstant) instruments(eq2: L1.X2 c1-c26, noconstant)
instruments(eq3: L1.X3 c1-c26, noconstant) wmatrix(hac bartlett 1)
winitial(identity) vce(hac bartlett 1)
[...]
}
 
where c* are dummy variables.
 
Claudio
 
 

Zentrum für Europäische Wirtschaftsforschung GmbH (ZEW), L7,1 68161
Mannheim 
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