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xtdpdqml: Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models

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  • Sebastian Kripfganz

    (University of Exeter Business School)

Abstract

In this presentation, I discuss the new Stata command xtdpdqml, which implements the unconditional quasi-maximum likelihood estimators of Bhargava and Sargan (1983, Econometrica 51: 1635–1659) for linear dynamic panel models with random effects and of Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107–150) for linear dynamic panel models with fixed effects when the number of cross-sections is large and the time dimension is fixed. The marginal distribution of the initial observations is modeled as a function of the observed variables to circumvent a short-T dynamic panel-data bias. Robust standard errors are available following the arguments of Hayakawa and Pesaran (2015, Journal of Econometrics 188: 111–134). xtdpdqml also supports standard postestimation commands, including suest, which can be used for a generalized Hausman test to discriminate between the dynamic random-effects and the dynamic fixed-effects model.

Suggested Citation

  • Sebastian Kripfganz, 2016. "xtdpdqml: Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models," United Kingdom Stata Users' Group Meetings 2016 12, Stata Users Group.
    • Handle: RePEc:boc:usug16:12
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    1. Alok Bhargava & J. D. Sargan, 2006. "Estimating Dynamic Random Effects Models From Panel Data Covering Short Time Periods," World Scientific Book Chapters, in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 1, pages 3-27, World Scientific Publishing Co. Pte. Ltd..
    2. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
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    4. Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2015. "Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 188(1), pages 111-134.
    5. Bun, Maurice J. G. & Kiviet, Jan F., 2003. "On the diminishing returns of higher-order terms in asymptotic expansions of bias," Economics Letters, Elsevier, vol. 79(2), pages 145-152, May.
    6. Giovanni S. F. Bruno, 2005. "Estimation and inference in dynamic unbalanced panel-data models with a small number of individuals," Stata Journal, StataCorp LP, vol. 5(4), pages 473-500, December.
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    8. Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002. "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, vol. 109(1), pages 107-150, July.
    9. Richard Williams & Paul D. Allison & Enrique Moral-Benito, 2018. "Linear dynamic panel-data estimation using maximum likelihood and structural equation modeling," Stata Journal, StataCorp LP, vol. 18(2), pages 293-326, June.
    10. Sebastian Kripfganz, 2016. "Quasi–maximum likelihood estimation of linear dynamic short-T panel-data models," Stata Journal, StataCorp LP, vol. 16(4), pages 1013-1038, December.
    11. Everaert, Gerdie & Pozzi, Lorenzo, 2007. "Bootstrap-based bias correction for dynamic panels," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1160-1184, April.
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