Hi everyone,
Would you be so kind to help me determine which command in Stata is most suitable for evaluating the model I am considering. The idea is to estimate a regression with at most 21 explanatory variables where the model also contains a lagged dependent variable as regressor. My sample contains almost the same number of countries and years (N=28 and T=27). It is clear to me that with lagged dependent variable as regressor, dynamic specification should be estimated and I have looked into Stata options that involve the xtdpdgmm, xtdpdbc, xtdpdqml and xtabond2 commands. I also know that GMM estimators for dynamic panel models are designed for large N and small T, and I am aware that the N dimension in my sample is rather small and time dimension is long to apply these commands. Taking into account all this, I am not sure if it is correct to apply some of these commands. I would be very grateful if you recommend me another estimation methods for my dynamic specification.
Would you be so kind to help me determine which command in Stata is most suitable for evaluating the model I am considering. The idea is to estimate a regression with at most 21 explanatory variables where the model also contains a lagged dependent variable as regressor. My sample contains almost the same number of countries and years (N=28 and T=27). It is clear to me that with lagged dependent variable as regressor, dynamic specification should be estimated and I have looked into Stata options that involve the xtdpdgmm, xtdpdbc, xtdpdqml and xtabond2 commands. I also know that GMM estimators for dynamic panel models are designed for large N and small T, and I am aware that the N dimension in my sample is rather small and time dimension is long to apply these commands. Taking into account all this, I am not sure if it is correct to apply some of these commands. I would be very grateful if you recommend me another estimation methods for my dynamic specification.
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