st: Anderson Hsiao and panel data

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

Debbie Enders <debbie_enders@yahoo.co.uk> wrote:

>  
>
> > Date: Wed, 7 Jun 2006 22:48:55 +0100 (BST)
> > From: Debbie Enders <debbie_enders@yahoo.co.uk>
> > 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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