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XTBCFE: Stata module to perform bootstrap-corrected Fixed Effects estimation and inference in dynamic panel models

Author

Listed:
  • Ignace De Vos

    (SHERPPA, Ghent University)

  • Ilse Ruyssen

    (SHERPPA, Ghent University)

  • Gerdie Everaert

    (SHERPPA, Ghent University)

Programming Language

Stata

Abstract

xtbcfe is a bootstrap-corrected fixed effects (LSDV) estimator for dynamic panel data models of general order. It estimates the specified model with the fixed effects estimator and corrects its small T bias (see Nickell, 1981) using a simplified but extended version of the approach presented in Everaert and Pozzi (2007). The algorithm evaluates the bias of the fixed effects estimator in a numerical way to avoid the use of analytical correction formulas. xtbcfe is therefore also applicable to higher order (more than one lag of the dependent variable) models with a potential non-standard error structure. With an appropriate choice of the resampling scheme, xtbcfe can take into account several heteroscedasticity and cross-sectional dependence patterns that would invalidate the standard (analytical) correction methods. Inference can be performed using either parametric or non-parametric bootstrap.

Suggested Citation

  • Ignace De Vos & Ilse Ruyssen & Gerdie Everaert, 2015. "XTBCFE: Stata module to perform bootstrap-corrected Fixed Effects estimation and inference in dynamic panel models," Statistical Software Components S458009, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458009
    Note: This module should be installed from within Stata by typing "ssc install xtbcfe". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbcfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbcfe_p.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbcfe.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbcfe_examples.do
    File Function: sample file
    Download Restriction: no
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