Dear All,
I am struggling to find out how I can run a dynamic panel regression (xtdpd) with only time-series fixed effect without cross-sectional fixed effect.
Currently, I have a code as follow:
xtset id year
xtdpd f L.f ret year1986-year2013, dgmmiv(f).
As far as I understand, this code estimates the time fixed effects of year1986-year2013 within each id by default. However, I was wondering if I could estimate the time fixed effects for all id's, i.e., with no cross-sectional fixed effect in the dynamic panel regression. It doesn't need to be xtdpd as long as I can consistently estimate the dynamic panel with only time-fixed effects included.
Any comment at this moment will be greatly appreciated, and please fee free to let me know if anything is not clear in my question.
In case helpful, I attach the result of the current code. (Note that too many instruments would be my next question in another posting.)
Many thanks for your generous help and I look forward to talking with you soon.
Kind regards,
Minsoo
I am struggling to find out how I can run a dynamic panel regression (xtdpd) with only time-series fixed effect without cross-sectional fixed effect.
Currently, I have a code as follow:
xtset id year
xtdpd f L.f ret year1986-year2013, dgmmiv(f).
As far as I understand, this code estimates the time fixed effects of year1986-year2013 within each id by default. However, I was wondering if I could estimate the time fixed effects for all id's, i.e., with no cross-sectional fixed effect in the dynamic panel regression. It doesn't need to be xtdpd as long as I can consistently estimate the dynamic panel with only time-fixed effects included.
Any comment at this moment will be greatly appreciated, and please fee free to let me know if anything is not clear in my question.
In case helpful, I attach the result of the current code. (Note that too many instruments would be my next question in another posting.)
Many thanks for your generous help and I look forward to talking with you soon.
Kind regards,
Minsoo