I am using xtabond command in STATA. I specify a simple dynamic model
xtabond y, maxldep(1). This means that I use as intrument yt-2. My panel
is unbalanced and countries are not observed consecutively. The pattern
is
ab country
country | Freq. Percent Cum.
------------+-----------------------------------
1 | 14 3.54 3.54
2 | 21 5.30 8.84
3 | 11 2.78 11.62
4 | 26 6.57 18.18
5 | 20 5.05 23.23
6 | 24 6.06 29.29
7 | 9 2.27 31.57
8 | 14 3.54 35.10
9 | 6 1.52 36.62
10 | 21 5.30 41.92
11 | 31 7.83 49.75
12 | 4 1.01 50.76
13 | 20 5.05 55.81
14 | 31 7.83 63.64
15 | 19 4.80 68.43
16 | 5 1.26 69.70
17 | 14 3.54 73.23
18 | 27 6.82 80.05
19 | 4 1.01 81.06
20 | 27 6.82 87.88
21 | 48 12.12 100.00
------------+-----------------------------------
Total | 396 100.00
when running xtabond command appears the following output
xtabond y, maxldep(1)
llano-Bond dynamic panel-data estimation Number of obs =
244
Group variable (i): country Number of groups =
16
Wald chi2(1) =
60.15
Time variable (t): year Obs per group: min =
1
avg =
15.25
max =
46
One-step results
------------------------------------------------------------------------------
lsrt | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
lsrt |
LD | .6781621 .0874415 7.76 0.000 .50678
.8495443
_cons | -.000442 .0010119 -0.44 0.662 -.0024252
.0015413
------------------------------------------------------------------------------
Sargan test of over-identifying restrictions:
chi2(46) = 75.90 Prob > chi2 = 0.0036
I loose two observations after taking lags and first differences. I dont
see why the number of groups is 16.
Any thoughts
toni
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
