st: xtreg, fe cluster(id) vs xtabond2 - just to control for serial correlation

[Alexander P�tz <puetza@uni-koeln.de>]

Dear Statalist members,

I've got a question concerning an unbalanced panel dataset with N about 4000
and T = 10. 

I would like to regress a model with panel fixed effects and control for
serial correlation in the dependent variable. Now I'm not sure about
including the lagged dependent variable as an explanatory variable in the
model and estimating the equation by xtabond2 or just leaving the lagged
dependent variable out of the model and estimate the equation by xtreg, fe
cluster(id). 

Because I'm not sure about how to use xtabond2 correctly and I'm only
interested in the signs and inference of the other explanatory variables, I
would tend to leave the lagged dependent out of the model. Anyway I don't
know if this would produce biased estimates.

Thank you for your help.

Alexander


 



*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/