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Re: st: Re: xtabond2 - what does large N mean?
In a very simple way, AB is a kind of instrumental variable estimator (after
taking orthogonal deviation, it looks more close to an average of 2SLS
estimator ~ 2SLS estimator). From the linear moment restrictions that are
(T-1)(T-2)/2 you have like "instruments" K = (T-1)(T-2)/2 then for T=15 K=91
(~100). In other words, if you have T=15 and N=100 I think that you can
still use AB... but you may check the results using Within Group estimator
and applying the correction suggested by Hahn and Kuersteiner (2002).
Several details for AB 1-step are in Alvarez-Arellano (2003) paper, the
tables in the appendix could help you with the bias. R
----- Original Message -----
From: "tutor um" <[email protected]>
To: <[email protected]>
Sent: Thursday, May 10, 2007 11:58 AM
Subject: Re: st: Re: xtabond2 - what does large N mean?
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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