I'm currently working with a company dataset in the form of an unbalanced panel (overall sample size: 1.300 company years, T: 10, X: ~170 different companies). One of two strategic types was assigned to each of the company years. To get a better understanding, why companies are pursuing a specific strategic type, I am using a random effects model (Stata: -xtlogit, re-):
I use the Stata command:
- xtlogit strategy L.strategy company_age company_size industry year, re -
with "industry" and "year" being a set of dummy variables.
Part of this model is the independent variable "L.strategy" which is the strategic type (dependent variable) of the previous year. This variable is added to get a better understanding of the stability of the strategic type in terms of time. As far as I know there is an adjustment of the model needed when adding lagged dependent variables to the model. I did find the -xtabond- command for linear models in Stata, which is using the adjustment procedure suggested by Arellano, Bond (1991). For the xtlogit model I did not find a comparable command.
Given the characteristics of my data set, is there an adjustment of the standard model needed? Does the answer to this question change if I add additional variables with longer lags to the regression (L2.strategy, L3.strategy, …)? If so, is this adjustment implemented into Stata or does anybody know a user programmed command dealing with this issue?
Thanks a lot in advance!
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