st: xtabond2- Equation not identified. Regess

["Rafael Terra de Menezes" <rflterra@hotmail.com>]

Dear stata users,

I apologize, but I'm a beginner in terms of Stata. I followed the advice of 
NIko about using xtabond2. However Stata retuns "Equation not identified. 
Regessors outnumber instruments". Does Anyone know what am I doing wrong? (I 
have a panel with  N=2610 and T=7 and my model is
y yt-1 x y z)

thanks



> From: "Niko Wrede" <wrede@wiso.uni-koeln.de>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: <statalist@hsphsun2.harvard.edu>
> Subject: st: AW: xtabond - test for autocorrelation
> Date: Fri, 13 Jan 2006 14:12:47 +0100
>
> I assume you have a lagged dependent var in your model.
> Since you are using an GMM-estimator, autocorrelation of order 1 is no
> problem but the reason for using GMM in order to instrument the endogenuous
> variable. You should look at the p-value of the autocorrelation test of
> second order. You have problems if there is autocorrelation of second 
> order.
> Refer to the original arellano/bond paper (1991) that is cited in - help
> xtabond2. By the way: Maybe xtabond2 suits your needs better than xtabond.
> Or refer to Greene, Verbeek or Baltagi.
>
> Niko
>
> -----Urspr�ngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Rafael Terra 
> de
> Menezes
> Gesendet: Freitag, 13. Januar 2006 13:55
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: xtabond - test for autocorrelation
>
>
> Dear Stata users,
>
> I'm working with a panel of N=2610 and T=7. I ran my specification with
> xtabond and, according to the results below, the tests for autocorrelation
> indicates that I can reject the hypotesis of no average autocovariance in
> residuals of order 1. I would like to know what should I do to deal with
> this problem. Or is this not a problem at alll?
>
> Thanks
>
> Rafael Terra de Menezes
> (Student)
> Department of Economics - University of S�o Paulo
> Brazil
>
>
> . xtabond lndo lnro LRF trend, robust
>
> Arellano-Bond dynamic panel-data estimation     Number of obs      =
> 13050
> Group variable (i): cod                         Number of groups   =
> 2610
>
>                                                 Wald chi2(4)       =
> 2434.80
>
> Time variable (t): ano                          Obs per group: min =
>
> 5
>                                                                avg =
>
> 5
>                                                                max =
>
> 5
>
> One-step results
> ----------------------------------------------------------------------------
> --
>              |               Robust
> lndo         |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+----------------------------------------------------------
> -------------+------
> lndo         |
>           LD |    .080924   .0145315     5.57   0.000     .0524428
> .1094052
> lnro         |
>           D1 |   .7556548   .0155879    48.48   0.000      .725103
> .7862066
> LRF          |
>           D1 |  -.0396747   .0030355   -13.07   0.000    -.0456241
> -.0337253
> trend        |
>           D1 |   .0074261   .0005826    12.75   0.000     .0062843
> .0085679
> _cons        |   .0084472   .0007847    10.77   0.000     .0069093
> .0099852
> ----------------------------------------------------------------------------
> --
> Arellano-Bond test that average autocovariance in residuals of order 1 is 
> 0:
>          H0: no autocorrelation   z = -20.98   Pr > z = 0.0000
> Arellano-Bond test that average autocovariance in residuals of order 2 is 
> 0:
>          H0: no autocorrelation   z =   1.67   Pr > z = 0.0951
>
>
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