Thuy Le replied:
> I think your panel is not -tsset- properly, so that there are missing
> value. Try to generate new time variable using -tsmktim- and -tsset-
> again.
I should point out here that -tsmktim- is a user-written package by Kit
Baum and Vince Wiggins, downloadable via SSC.
Thanks for the suggestion, but although -tsmktim- worked a treat (it now
works with panels: it didn't before), -xtabond2- still didn't work:
. tsmktim dcyear, start(1976) seq(edyear) i(pano)
panel variable: pano, 1 to 659
time variable: dcyear, 1976 to 1992, but with gaps
. tsset pano dcyear
panel variable: pano, 1 to 659
time variable: dcyear, 1976 to 1992, but with gaps
. xtabond2 edconpc ledconpc ed2-ed13 edpollch lagconch laglabch lagldmch
clmargin cdmargin conplace edenp class if edmarker==1, gmm(l3edconpc)
robust small
Missing values in time variable (dcyear).
r(459);
This simply makes no sense to me: there's _nothing_ in the help file that
states that -xtabond2- does not work with unbalanced panels, or indeed
should not work (in evidence I submitted in an earlier post). I wish I
knew why it behaves like this.
However, I've found a solution, although it's not a satisfactory one:
. drop if edyear==.
(2838 observations deleted)
. xtabond2 edconpc ledconpc ed2-ed13 edpollch lagconch laglabch lagldmch
clmargin cdmargin conplace edenp class if edmarker==1, gmm(l3edconpc)
robust small
ed2 dropped because of collinearity.
ed3 dropped because of collinearity.
Building GMM instruments..
8 instruments dropped because of collinearity.
Estimating.
Performing specification tests.
Arellano-Bond dynamic panel-data estimation, one-step system GMM results
------------------------------------------------------------------------------
Group variable: pano Number of obs =
1842
Time variable : edyear Number of groups =
302
Number of instruments = 32 Obs per group: min =
1
F(20, 301) = 6.01 avg =
6.10
Prob > F = 0.000 max =
11
------------------------------------------------------------------------------
| Robust
| Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
ledconpc | -.2848439 .3087844 -0.92 0.357 -.8924934
.3228057
ed4 | -159.8244 166.6444 -0.96 0.338 -487.76
168.1112
ed5 | 8320.825 177418.4 0.05 0.963 -340816.6
357458.2
ed6 | 8325.268 177418.9 0.05 0.963 -340813.2
357463.8
ed7 | 8446.951 177421.6 0.05 0.962 -340696.8
357590.7
ed8 | 13121.3 288135.6 0.05 0.964 -553894
580136.6
ed9 | 13129.14 288135.9 0.05 0.964 -553886.7
580145
ed10 | 13108.4 288134.5 0.05 0.964 -553904.8
580121.6
ed11 | 8341.228 177400.4 0.05 0.963 -340760.8
357443.2
ed12 | 8341.948 177400 0.05 0.963 -340759.3
357443.2
ed13 | 8332.933 177399.2 0.05 0.963 -340766.7
357432.6
edpollch | -1.050461 1.017076 -1.03 0.303 -3.051941
.9510186
lagconch | 3.718234 7.188094 0.52 0.605 -10.42705
17.86352
laglabch | 2.686741 6.064912 0.44 0.658 -9.248257
14.62174
lagldmch | 1.971574 6.519442 0.30 0.763 -10.85788
14.80103
clmargin | -1.538656 2.839115 -0.54 0.588 -7.125683
4.048371
cdmargin | .1944372 1.942892 0.10 0.920 -3.628934
4.017808
conplace | -44.53702 78.18992 -0.57 0.569 -198.4051
109.3311
edenp | -14.35173 6.621796 -2.17 0.031 -27.3826
-1.320851
class | -4.739345 6.573417 -0.72 0.471 -17.67502
8.196327
_cons | -8060.598 177387.4 -0.05 0.964 -357137.1
341015.9
------------------------------------------------------------------------------
Hansen test of overid. restrictions: chi2(11) = 5.72 Prob > chi2 =
0.891
Arellano-Bond test for AR(1) in first differences: z = -1.85 Pr > z =
0.064
Arellano-Bond test for AR(2) in first differences: z = . Pr > z =
.
------------------------------------------------------------------------------
What I'll need to automatically impute years not in EDYEAR so that I won't
need to -drop- observations in my dataset that I need to keep.
CLIVE NICHOLAS |t: 0(044)191 222 5969
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
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