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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. 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.
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    10. 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.
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    13. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
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    5. 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.
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    11. 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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