Hi!
I am estimating a model with the xtabond command and find the current
restriction of 800 matsize binding and inadequate for my analysis. The
reason is that at such size I am forced to constrain the maximum number of
lags of the dependent variable that can be used as instruments quite below
benchmark of T_i-p-2 (proposed for the Arellano-Bond estimators). My data
consists of i=202 cross sections and t=87 time periods. For a starter, this
wouldn't seem a too large dataset to estimate a model with p=12 lags of the
dependent variables, two exogenous/predetermined variables, and
cross-section and time dummies as:
y_it = y_(it-1)a_1 + ... + y_(it-p)a_p + x_(it)b_1 + v_i + w_t + e_(it)
Suggestions to overcome this matsize constraint are welcome. In fact, I
switched to STATA 7 from GAUSS where I was using the DPD98. At this moment,
I wonder if I should switch back to GAUSS.
Best regards and thanks for your attention,
Sara
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