[Marcus Grayer]

I have 48 countries across a period of 25 years (on average) with a quarterly frequency (i.e. 100 periods in total). Is your strategy still feasible?
Indeed, does this solution address only contemporaneous correlation or serial correlation as well?

[Carlo Lazzaro]

Marcus:
your actually dealing with a T>N panel dataset.
See -xtregar- and -xtgls- instead of -xtreg-.

[Marcus Grayer]

Thank you Carlo, I’ll go for this solution.
I read the help file and the documentation, but I’m still unsure about the last question for xtregar: does this solution address only contemporaneous correlation or serial correlation as well?

[Carlo Lazzaro]

Marcus:
-xtergar- options manages different mechanisms of autocorrelation, but not heteroskedasticity.

[Rocio Aguilar]

Sorry, bt I have a similar problem with a lag variable. My data are described as the following:

. describe zRE zage family_firm zn_employees year

Variable      Storage   Display    Value
    name         type    format    label      Variable label
----------------------------------------------------------------------------------
zRE             double  %9.0g                 Std ROA
zage            float   %9.0g                 Standardized values of age
family_firm     byte    %10.0g                FAMILIAR_1
zn_employees    float   %9.0g                 Standardized values of n_employees
year            double  %10.0g                
             

And, when I run the dynamic regression:
I have a panel data

. xtset company year

Panel variable: company (weakly balanced)
 Time variable: year, 2006 to 2019
         Delta: 1 unit

. xtabond2 zRE l.zRE zage 1.family_firm zn_employees  i.year , gmm(l.zRE, lag(2 2)) iv(zage 1.family_firm zn_employees i.year ) twostep robust arte(3)

The result is:

No observations.
r(2000);

Because do not regnonize the lar on the variable zRE:

. list RE zRE l.zRE in 1/10

     +--------------------------+
     |                        L.|
     |     RE         zRE   zRE |
     |--------------------------|
  1. |   5.78    -.061369     . |
  2. |   .161   -.6198423     . |
  3. |   .475   -.5886338     . |
  4. |   .276   -.6084124     . |
  5. | -3.822   -1.015713     . |
     |--------------------------|
  6. |  1.407   -.4960021     . |
  7. |  2.912     -.34642     . |
  8. |   1.07   -.5294966     . |
  9. |  2.344   -.4028736     . |
 10. |  4.468   -.1917689     . |
     +--------------------------+

Please, I appreciate some help

[Rocio Aguilar]

Sorry I notice what the problem is: I was only one valor of Panel variable for each time variable.