Stata throws a 301 error (last estimates not found) whenever I try to use estimates from a dynamic model (using xtdpdgmm) to predict out of sample output.
Steps I followed:
1- Run regression: xtdpdgmm L(0/1).a L(0/2).b L(0/2).c L(0/2).d L(0/2).e L(0/2).f, collapse model(difference) gmm(l.a, lag(0 1)) gmm(b d f, lag(1 1)) gmm(c e, lag(. .)) teffects vce(robust)
2- est save model1
3- on a different dataset: est use model1 (loads correctly).
4 - predict yhat, xb output: last estimates not found (r(301).