[Limdep Nlogit List] ABB DPD model with unbalanced panles
Barry Williams
bwilliam at bond.edu.au
Mon Jun 21 14:38:55 EST 2010
Dear All,
I am trying to run the Arellano Bond and Bover Dynamic Panel model with an unbalanced panel.
So far I have been able to run the example code from section E11.15 quite successfully on the Cornwall and Rupert data and reproduce the results from the manual.
I have then applied the model to a sub-sample of my data that could be balanced quite easily without any real biases.
My code is:
NAMELIST; x1 = HHI2, CHGHHI2, TREND$
NAMELIST; x2 =LNTOTY, LNTOTYSQ$
NAMELIST; f1 = one$
NAMELIST; x = x1,x2
; f = f1
; exog = x1,f1
; all = x1,x2,f1$
CREATE ; y = SD_PROF$
CALC ; kx1=Col(x1) ; kx2 = Col(x2) ; kf1 = Col(f1) ; kf2 = 0$
REGRESS ; Lhs = y
; Rhs = all
; Start = kx1,kx2,kf1,kf2;
; pds=25
; Panel
;DPD
;Pattern=0$
My questions are:
1) Does any one have any suggestions on how to run the ABB model with an unbalanced data set? (The manuals indicate that is an intricate problem)
2) At this stage I am only able to use Pattern =0, as otherwise I receive the error message: Error 636: You have too many instruments (moment conditions). I assume that this is because I have 25 quarters of data.
As a follow-up I have also run my model using the Kiviet (1995) approach from Greene (2008) page 246, with yit-1 being approximated by yit-2. Is there a mechanism to use yit-2 as an alternative to yit-1 within the ABB framework?
Many thanks for any help,
Barry
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