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XTSEQREG: Stata module to perform sequential estimation of linear panel data models

Author

Listed:
  • Sebastian Kripfganz

    (University of Exeter)

Programming Language

Stata

Abstract

xtseqreg implements sequential estimators for linear panel data models with the analytical second-stage standard error correction of Kripfganz and Schwarz (2019, Journal of Applied Econometrics). The command can be used to fit both stages of a sequential regression or either stage separately. One-step and two-step GMM estimation is possible at both stages including system-GMM estimation based on linear moment functions for the first-differenced and the levels model. Available postestimation statistics include the Arellano-Bond test for autocorrelation of the residuals and Hansen's J-test for the validity of the overidentifying restrictions.

Suggested Citation

  • Sebastian Kripfganz, 2017. "XTSEQREG: Stata module to perform sequential estimation of linear panel data models," Statistical Software Components S458355, Boston College Department of Economics, revised 10 Aug 2020.
    • Handle: RePEc:boc:bocode:s458355
    Note: This module should be installed from within Stata by typing "ssc install xtseqreg". 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

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtseqreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtseqreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtseqreg_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtseqreg_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtseqreg_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtseqreg.mlib
    File Function: Mata object library
    Download Restriction: no
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