Dear Statalist,
I am examining quarterly data for an unbalanced panel of 11,000+ banks from 1996:Q1 to 2016:Q4 using Stata/IC. I am using a system gmm model through xtabond2. My regression code is as follows:
For completeness, variables q2_1997- q4_2016 are dummies for each quarter to introduce time fixed effects. I have included all bank-level variables as endogenous in the -gmm- option, and all other variables as instruments in the -iv- option.
I understand that the -collapse- suboption of the -gmm- command is meant for datasets where the number of groups > number of instruments. This is obviously not the case with my data, as I have 11,000+ banks, so I do not think that it is necessary nor justified to include it. However, if I exclude the -collapse- suboption, using this code:
I get the following error:
Why does this error occur? xtabond2 seems very limited the detail of its error reporting.
I am examining quarterly data for an unbalanced panel of 11,000+ banks from 1996:Q1 to 2016:Q4 using Stata/IC. I am using a system gmm model through xtabond2. My regression code is as follows:
Code:
xtset id dateq xtabond2 LCCF l.LCCF T1RAT SIZE RISK ROE MS MNA COMP POP INCG GDPG UNEM FFR q2_1997- q4_2016, /// gmm(l.LCCF T1RAT SIZE RISK ROE MS MNA, lag(3 4) collapse) iv(COMP POP INCG GDPG UNEM FFR q2_1997- q4_2016) /// twostep robust small nodiffsargan
I understand that the -collapse- suboption of the -gmm- command is meant for datasets where the number of groups > number of instruments. This is obviously not the case with my data, as I have 11,000+ banks, so I do not think that it is necessary nor justified to include it. However, if I exclude the -collapse- suboption, using this code:
Code:
xtset id dateq xtabond2 LCCF l.LCCF T1RAT SIZE RISK ROE MS MNA COMP POP INCG GDPG UNEM FFR q2_1997- q4_2016, /// gmm(l.LCCF T1RAT SIZE RISK ROE MS MNA, lag(3 4)) iv(COMP POP INCG GDPG UNEM FFR q2_1997- q4_2016) /// twostep robust small nodiffsargan
Code:
J(): 3900 unable to allocate real <tmp>[927864,588] _Explode(): - function returned error _ParseInsts(): - function returned error xtabond2_mata(): - function returned error <istmt>: - function returned error
Why does this error occur? xtabond2 seems very limited the detail of its error reporting.
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