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Econometric analysis of panel data in Stata

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Author Info
David Drukker () (Stata Corporation)
Abstract

Many researchers need to estimate panel data models in which either the idiosyncratic term is autocorrelated or the model includes a lagged dependent variable. This talk will review some of the estimation and inference methods that have appeared in the econometric literature to deal with these problems.These issues will discussed in the context of an extended example based on the same data used by Arellano and Bond in their 1991 Review of Economic Studies paper. In the course of the example, some two-stage least squares estimators for simultaneous equations with panel data will also be discussed.

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Paper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2001 with number 6.1.

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Date of creation: 08 Mar 2001
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Handle: RePEc:boc:asug01:6.1

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