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XTBETARK: Stata module for computing beta regression with AR(k) errors for proportion/rate outcomes, by joint conditional maximum likelihood, with panel-corrected standard errors

Author

Listed:
  • Ariel Linden

    (Linden Consulting Group, LLC)

Programming Language

Abstract

xtbetark extends betark (if installed) to panel data. The AR(k) component -- the mean equation's autoregressive adjustment, jointly estimated with the scale equation and AR coefficients via the same recursive conditional likelihood -- works exactly as in betark. xtbetark adds the variance-covariance estimator. A panel-appropriate sandwich is applied on top of the AR(k)-adjusted likelihood, so the correction targets only the cross-panel dependence the AR(k) term does not already handle. Two such corrections are available via vce() -- pcse (Beck and Katz [1995]) and dk ( Driscoll and Kraay [1998])-- differing in whether they include a time-lag smoothing kernel; a third, oim, applies no panel correction at all and provides results identical to those produced by betark.

Suggested Citation

  • Ariel Linden, 2026. "XTBETARK: Stata module for computing beta regression with AR(k) errors for proportion/rate outcomes, by joint conditional maximum likelihood, with panel-corrected standard errors," Statistical Software Components S459846, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459846
    Note: This module should be installed from within Stata by typing "ssc install xtbetark". 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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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbetark.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbetark_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbetark.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbetark_example.dta
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