Estimating a Dynamic Panel Threshold Model with the xthenreg command

[Luis Pablo]

Dear Stata community,

I'm using the Dynamic Panel Threshold methodology and get the following error when I run the xthenreg command:

maincode_0719(): 3301 subscript invalid
<istmt>: - function returned error

According to Stata, the "return code 3301 subscript invalid" means that "the subscript is out of range (refers to a row or column that does not exist) or contains the wrong number of elements." I get the same error no matter the specification I use, so I was wondering if you know what this error means and how it can be fixed.

Thank you in advance.

Luis

[Ngozi ADELEYE]

Hi Luis,
You may get that error if your panel structure is N < T.
The xthenreg syntax is designed for N > T panel data.
Regards.
Ngozi

[Luis Pablo]

Hi Luis,
You may get that error if your panel structure is N < T.
The xthenreg syntax is designed for N > T panel data.
Regards.
Ngozi

Thank you for your help!

[Bayront Yudit]

Dear Ngozi ADELEYE and everyone, after specifying the endogenous variable, is it the lag dependent variable act as IV by default? can we define our own instrumental variable in the following way xthenreg y q x1 x2 x3, endogenous(x4) inst(x5)