st: re: xtabond

[Kit Baum <baum@bc.edu>]

I want to have arellano-bond estimator in my panel data analysis. I know
the xtabond does the job, but, when I used it in my stata  
programming, it
always gave me the wrong message. For example:

. tsset prov time;
       panel variable:  prov (unbalanced)
        time variable:  time, 1978 to 1998, but with gaps

. xtabond g_lypcc pop100cr a_pol inst, lags(2);
timevar (time) may not contain missing values when option full is
specified
r(451);





I cannot reproduce this problem. I did 'webuse abdata' and removed a  
number of observations at random from the middle of the timeseries,  
creating gaps, so that I get


. tsset
       panel variable:  id (unbalanced)
        time variable:  year, 1976 to 1984, but with gaps
                delta:  1 unit


.  tsreport, list panel

Observations with preceding time gaps
----------------------------------
   Record |         id        year
----------+-----------------------
       37 |          6        1979
       92 |         14        1981
      234 |         34        1983
----------------------------------

.  xtabond n l(0/1).w l(0/2).(k ys) yr1980-yr1984, lags(2)

The xtabond command still runs fine in the presence of gaps in the  
middle of units' time series.


Kit Baum, Boston College Economics and DIW Berlin
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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