Re: [Gretl-users] DPANEL and Sargan/Hansen test
On Wed, 22 May 2013, Pindar wrote:
Ok, I see, the 20% cannot be the right p- value. Does someone use
Stata to check what the newest xtabond2 says?
U seem to have some experience with dpanel estimation. What do u think
about that: If I have a 12x412 panel is it then ok to use 225
instruments or should one stay near 100 instruments?
If you ask me, 225 orthogonality conditions is a sure recipe for disaster,
unless you have 10 billion observations or more. The conventional wisdom
among practitioners is that should never use all available instruments
when doing panel GMM, unless your T is very small. You may want to read
Roodman (2009), Oxford Bulletin.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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