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st: xtabond2 with averaged variables in order to keep T small
From
Caterina Astarita <[email protected]>
To
[email protected]
Subject
st: xtabond2 with averaged variables in order to keep T small
Date
Tue, 21 Sep 2010 10:35:59 +0100 (BST)
Dear Statalisters,
I have a panel dataset with N = 19 and T = 14
my independent variable are 7 plus the time dummies.
Since I'm running a GMM system one step estimator with xtabond2,
even using collapse and taking only the most recent lags I have problems
with proliferation of instruments. I have tried to make averages of three year each
for all the variable, thus reducing the period from 14 to 5 and now results
are really better also in terms of diagnostic.
Is that a plausible procedure?
Thank you
Caterina
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