st: Anderson-Hsiao

[Marcello Pagano <pagano@hsph.harvard.edu>]

> Subject: Anderson-Hsiao
> To: statalist@hsphsun2.harvard.edu
>
> I would like to implement the Anderson-Hsiao
> estimator > in stata for my panel data set. I had though of
> doing this using xtivreg2, fd, but according to a previous
> posting
(http://newwww.stata.com/statalist/archive/2004-10/msg00522.html)

> > this command cannot be used for inference and
> > hypothesis testing. The only thing I found in the
> > help
> > files was the xtlsdvc command which has a
> > Anderson-Hsiao option, but this takes forever with
> > large datasets (I still haven't been able to get any
> > results out) and also doesn't give much flexibility.
> >
> > Is xtivreg2, fd an appropriate way of implementing
> > Anderson-Hsiao? Is there any particular way of
> > specifying it that is necessary? Are the results
> > useful at all (given the points made in the posting
> > I
> > linked to above)? If not, is there any other way of
> > implementing Anderson-Hsiao in STATA?
> >
> > Thank you very much for any help!
> >
> > Debbie
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