st: Re: xtabond2 - what does large N mean?

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

Andreas,

N means number of groups, countries in your case. Your N (160) is fine for 
few periods (T), maybe less than 8. You could check that the AB estimator is 
not appropriate for T large. See 2 econometrica papers: Hahn-Kuersteiner 
(2002) and Alvarez-Arellano (2003). Likely to find the working papers on the 
web.

Rodrigo.


----- Original Message ----- 
From: "tutor um" <tutor2005um@googlemail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 09, 2007 2:03 PM
Subject: st: xtabond2 - what does large N mean?



> Hello everybody,
>
> I am trying to use xtabond2 for a panel dataset of around 160 countries.
>
> In the paper "How To Do xtabond2"
> (http://repec.org/nasug2006/howtodoxtabond2.cgdev.pdf) Roodman on page
> 1 (line 2) refers ro large N panels.
>
> Quote: "Both are general estimators designed for situations with 1)
> "small T, large N" panels,
> meaning few time periods and many individuals; ..."
>
> I am wondering what exactly is meant by N?
>
> Is it the number of observations in the panel (in my case around 800)?
> Or is it the number of Groups (in my case the countries) in the panel?
>
>
> Also in what respect is N meant to be compared?
>
> xtabond2 warns if the number of instruments is too big. Does that in
> reverse mean everything is fine if it doesn�t?
> Are the results not suitable for interpretation at all if a warning
> has been displayed while estimating? Or is it a hint for extra caution
> when interpreting results since they are displayed anyways.
>
> I hope someone can help me with my questions.
> Thank you so much for your help!
>
> Andreas Marns
>
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