Dear all,

I am running a panel macro data where N=50 and T=80. I have a quadratic equation and my coefficients are all linear. In the model, I have a bunch of dummies, count and categorical variables among others. Macro variables are in logs or in percentage, and data are stationary,


The mode is the following in the picture below with only difference, instead of Π, I got growth of gdpY (in log) and intercept a is given by is (1-a)Yt-1. The rest is the same


GDP (growth) is the dependent variable, and the lag of GDP enters the equation as an independent variable.. T is and indicator, an overall constant a ((1-a)yt-1) in my model, is included. Z is a vector of control variables that affect the level of gdp

Data are stationary and there is first order autocorrelation tested with xtserial,. I suspected, but not confirmed, the presence of heteroscedasticity, from the structure and some kind of heterogeneity present in the composition of the panel .
In short, it is a classical macro panel.

Till now, I've run the following two regressions, for xtregar , just because of T>N , and xtreg . Equations are in a reduced form presented here, for obvious reasons

xtregar growthgdp l.gdp cpi u Output dummy1 dummy2 c.indicator1##c.indicator1, fe
and

xtreg growthgdp l.gdp cpi u Output dummy1 dummy2 c.indicator1##c.indicator1, vce (cluster id) fe


I've chosen initially xtregar because of the large T, but I now see that it may be wrong. Note also that I alternate the regression by estimating sub-periods and T are then reduced to only ten 10 years T=10

Estimation results from entire period and sub-periods must be compared.

When I run xtreg, many of the dummies and the indicators are omitted because of collinearity,, but this does not happen in their square terms thought.
Panels are also reduced to 42 and the respected number of observations is reduced as well. That causes to lose information on panels and entire groups they belong

[QUOTE] F test are

F(87,1016) = 4.21 Prob > F = 0.0000 for xtreg


F F(87,974) = 2.77 Prob > F = 0.0000. for xtregar [QUOTE]




With xtregar I get better results.

On the estimation I was thinking of a dynamic panel, like the command written by Sebastian Kripfganz, yet not sure if this is the correct way to go. I do not have instruments in the model.

Jeff Wooldridge, , digging in the forum ,says that he avoids xtegar
https://www.statalist.org/forums/for...72#post1572672

While other panel experts Joao Santos Silva, Clyde Schechter Carlo Lazzaro have expressed different views in older threads


Can you please suggest which is the best method to use?
In only case, the method must be able to produce margins.

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Last but not least, have I written correctly the factorial and the regression in Stata language according to the equation? Array