Dear All,
I am trying to estimate a dynamic panel data model with the command xtabond. My data is for 43 firms observed over 8 years. To estimate my model, I am using the following command:
xtabond y x yeardum2 yeardum3 yeardum4 yeardum5 yeardum6 yeardum7 yeardum8, lags(1) maxldep(2) artests(2)
where x specifies all the strictly exogenous variables ( total of 9 variables for my model). My model does not have any predetermined variables and I did tsset my data before running the regression. However, in the estimation result I find yeardum2 and yeardum4 are dropped due to collinearity. I do not understand why this is happening and how can I solve the problem. I need to know the estimated coefficients of the yeardummies for my work. Can anyone help me in this regard? I shall really appreciate any suggestions and/or guideline to solve this problem.
Thanks
Aditi
*
* 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/
