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XTDPDQML: Stata module to perform quasi-maximum likelihood linear dynamic panel data estimation

Author

Listed:
  • Sebastian Kripfganz

    (University of Exeter)

Programming Language

Stata

Abstract

xtdpdqml implements the unconditional quasi-maximum likelihood estimators of Bhargava and Sargan (1983) for linear dynamic panel models with random effects and Hsiao, Pesaran, and Tahmiscioglu (2002) for linear dynamic panel models with fixed effects when the number of cross sections is large and the time dimension is fixed. In the fixed-effects case, the estimator of Hsiao, Pesaran, and Tahmiscioglu (2002) maximizes the transformed likelihood function after a first-difference transformation of the model. Robust standard errors are available and unbalanced panel data sets are supported.

Suggested Citation

  • Sebastian Kripfganz, 2016. "XTDPDQML: Stata module to perform quasi-maximum likelihood linear dynamic panel data estimation," Statistical Software Components S458218, Boston College Department of Economics, revised 04 Mar 2017.
    • Handle: RePEc:boc:bocode:s458218
    Note: This module should be installed from within Stata by typing "ssc install xtdpdqml". 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.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdqml.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdqml.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdqml_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdqml_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdpdqml_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtdpdqml.mlib
    File Function: Mata object library
    Download Restriction: no
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    Citations

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    Cited by:

    1. Vadim Kufenko & Klaus Prettner, 2021. "Do you know your biases? A Monte Carlo analysis of dynamic panel data estimators," Department of Economics Working Papers wuwp316, Vienna University of Economics and Business, Department of Economics.

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