st: arellano bond with clustering

[ps2179@columbia.edu]

Hi friends.  I am hoping I could bother you all with an eocnometrics question
that has been stumping me.

I am running an estimating equation of the following form in stata:

Yist = Yist-1 + Zist + Xst + error

To estimate this dynamic equation on a panel with short T, I use the
Arellano-Bond technique (xtabond2). However, my variables of interest  
are the Xs  and they are aggregared at the sector level (while other  
variables are
at the micro, firm level) so there is the possibility that the
standard errors on the Xs are over-precise. However, there is no easy
way to combine clustering with Arellano-Bond in stata. I was wondering
if you could offer a way around this problem...? Thanks very much!

Guru Sethupathy

--
Prasanna (Guru) Sethupathy
Economics, Ph.D.
Columbia University
ps2179@columbia.edu


----- End forwarded message -----


--
Prasanna (Guru) Sethupathy
Economics, Ph.D.
Columbia University
ps2179@columbia.edu
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