st: xtabond2 and intercooled Stata 9.2

[Kit Baum <baum@bc.edu>]

Anand said:

I am quite new to Stata and I am having trouble using the XTABOND2 
program.. either my computer crashes or gives me an error message.

I used the following command...

xtabond2 chasim L.chasim L.chdiff L.asiminflr eta, gmm(L.chasim) 
iv(L.chdiff L.asiminflr eta) nomata

... and I got the following error message.

=========================
Building GMM instruments.no room to add more variables due to width


With 50 time periods xtabond2 will attempt to create a gazillion 
instruments, and no matter how many Gb of RAM you have, it will fail. 
Either limit the lags used in the gmm instruments with the suboption 
lag( ) or use the collapse option to reduce their number.

More fundamentally, you must consider whether this data set fits the 
'small T, large N' criteria that rationalize the DPD (Arellano-Bond) 
estimator. 50 is not that small, and this may not be the most sensible 
estimation technique in the case where T is a significant fraction of 
N.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html

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