Thank you Rodrigo for your quick answer! That helped.
Another question concerning the size of N. If N=100 and xtabond uses
e.g. 100 instruments, would this still yield ok results? where would
be the limit?
Any help is appreciated.
Thank you.
On 5/9/07, Rodrigo A. Alfaro <[email protected]> wrote:
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" <[email protected]>
To: <[email protected]>
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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