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Re: st: LSDVC with small T and small N with Endogenous Regressors
From
sumaya ali brahim <[email protected]>
To
[email protected]
Subject
Re: st: LSDVC with small T and small N with Endogenous Regressors
Date
Tue, 20 Aug 2013 11:35:31 +0200
Hi,
thank you for replying,
exactly as Eric points I have one endogenous regressor, so xtlsdvc
doesn't fit...
Sumaya
On Tue, Aug 20, 2013 at 9:29 AM, DE SOUZA Eric
<[email protected]> wrote:
> I also found -xtlsdvc-. I don't think that suits his needs because it supposes an autoregressive model with the other explanatory variable being strictly exogenous. I deduced from his description that he had an endogenous explanatory variable other than the lagged dependent variable.
>
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Nick Cox
> Sent: 19 August 2013 20:19
> To: [email protected]
> Subject: Re: st: LSDVC with small T and small N with Endogenous Regressors
>
> Is -xtlsdvc- what you want? A -search- reveals locations in SJ and SSC archives. The -xt- prefix is natural given the panel application.
>
> Nick
> [email protected]
>
>
> On 19 August 2013 16:24, sumaya ali brahim <[email protected]> wrote:
>
>> I have a dynamic panel (small N=16 and small T=9) and one endogenous
>> regressor. I did use the xtabond2, but know it is biased for small N and T.
>> In this case I need the LSDVC (written by Giovanni Bruno) with one
>> endogenous regressor..but it looks like it doesn't exist. In
>> particular I cannot find: Bruno G., 2006, "A comparison analysis of
>> dynamic panel-data estimators in the presence of endogenous
>> regressors"..I did send him several emails, but he never replied..
>> The question is: does this paper exist or Bruno never published it?
>> and apart from this paper, has been the extensions of the LSDVC
>> estimator to the case of non-exogenous explanatory variables derived?
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