st: RE: xtabond2 estimation and observations used

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

Since we do not know how you have created your time dummies, nor what instruction you entered, it is difficult to answer.

Create four time dummies, t1 to t4, and enter them into your command as t*. Then see what happens and report, if necessary.


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 webgeeky
Sent: 17 August 2013 16:34
To: statalist@hsphsun2.harvard.edu
Subject: st: xtabond2 estimation and observations used

I've a question regarding the mechanism of xtabond2. I've read Roodman
(2009) in Stata Journal, but there are some aspects that I couldn't figure out.

I have a balanced dataset that involves 4 time periods. I estimated a one-step difference GMM using xtabond2 with a lagged dependent variable (one-period lag) and the "nolevel" option. I included 3 time period dummies (t1, t2, t3) in the model.

The output from the estimation shows that the number of observations per group (min/avg/max) is 2. The total number of observations is half that of my sample size. These figures are consistent with what the one-step difference GMM, where observations in the first two periods are dropped.

What puzzle me is that there is an estimated coefficient for the 2nd time period (t2), while t1 is dropped from the model. I would like to know why t2 is being estimated even though the observations used in the estimation should be those in t3 and t4?

Thanks!
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