1. J

    Dynamic Panel Data for Financial Markets

    Dear all, I am trying to simultaneously estimate three equations using dynamic panel data. In each equation, the dependent variable (say, Y(3)) is a function of the two other dependent variables from that same period (say, X(3) and Z(3)), as well as the lagged values of the same dependent...
  2. S

    xtabond and dummy variables

    I'm using Stata's xtabond which works beautifully---until I include a dummy variable. Dropped because of collinearity. I guess what is happening is that the dummy is being lagged and lagged again....any ideas? Thanks!