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XTUSREG: Stata module to estimate dynamic panel models under irregular time spacing

Author

Listed:
  • Yuya Sasaki

    (Department of Economics, Vanderbilt University)

  • Yi Xin

    (California Institute of Technology)

Programming Language

Stata

Abstract

xtusreg estimates coefficients of fixed-effect linear dynamic panel models under unequal spacing of time periods in data, based on the identification and estimation theories developed in Sasaki and Xin (2017). The admissible pattern of unequal spacing is the US Spacing -- see Definition 2 and Example 2 in Sasaki and Xin (2017). This spacing pattern is characterized by the availability of two pairs of two consecutive time gaps. For example, a data set that includes observations from surveys in years 1966, 1967, and 1970 is unequally spaced. However, it exhibits the US Spacing with two pairs, (0,1) and (3,4), of two consecutive time gaps, as there are 0-year gap between 1966 and 1966, 1-year gap between 1966 and 1967, 3-year gap between 1967 and 1970, and 4-year gap between 1966 and 1970. One may simply run the fixed-effect dynamic panel autoregression of the dependent variable alone. Alternatively, one may run the fixed-effect dynamic panel autoregression with time-varying covariate(s). The estimator is based on the normalization (see Sasaki and Xin, 2017, Appendix C.1) for robustness by default.

Suggested Citation

  • Yuya Sasaki & Yi Xin, 2020. "XTUSREG: Stata module to estimate dynamic panel models under irregular time spacing," Statistical Software Components S458768, Boston College Department of Economics, revised 15 Dec 2021.
    • Handle: RePEc:boc:bocode:s458768
    Note: This module should be installed from within Stata by typing "ssc install xtusreg". 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/xtusreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtusreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/n/NLS_Originl_Cohort.dta
    File Function: sample data file
    Download Restriction: no
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