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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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    7. 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.
    8. 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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    Cited by:

    1. 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.
    2. repec:gam:jsusta:v:9:y:2017:i:6:p:1014-:d:101276 is not listed on IDEAS
    3. D. Dragone & D. Raggi, 2018. "Testing Rational Addiction: When Lifetime is Uncertain, One Lag is Enough," Working Papers wp1119, Dipartimento Scienze Economiche, Universita' di Bologna.
    4. repec:pal:compes:v:59:y:2017:i:3:d:10.1057_s41294-017-0028-2 is not listed on IDEAS
    5. Morales, Juan S., 2018. "The impact of internal displacement on destination communities: Evidence from the Colombian conflict," Journal of Development Economics, Elsevier, vol. 131(C), pages 132-150.
    6. Varma, Poornima & Issar Akash, 2017. "Intra-Industry Trade and Labour Market Adjustment: Indian Manufacturing Sector," IIMA Working Papers WP 2017-04-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    7. Florin Teodor Boldeanu & Ileana Tache, 2016. "A Regional Approach To The Metropolitan Economic Growth: Evidence From The European Union," Journal of Smart Economic Growth, , vol. 1(1), pages 29-72, August.
    8. Izabela Sobiech, 2015. "Remittances, finance and growth: does financial development foster remittances and their impact on economic growth," FIW Working Paper series 158, FIW.

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