Sebastian Kripfganz

Lecturer (assistant professor) in Economics,
University of Exeter Business School, Department of Economics

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© Sebastian Kripfganz
Stata Programs
My paper with Claudia Schwarz on the estimation of linear dynamic panel data models with time-invariant regressors was published in the June/July 2019 issue of the Journal of Applied Econometrics. The two-stage procedure described in this paper is implemented in my xtseqreg Stata program.
The xtdpdgmm Stata program for generalized method of moments estimation of linear dynamic panel data models has been updated on June 19, 2019. The latest version 2.1.0 has an enhanced capapibility to compute incremental overidentification tests, and it allows to estimate the model with the iterated GMM estimator. The command further allows to incorporate forward-orthogonal deviations as well as nonlinear moment conditions derived under the assumption of serially uncorrelated errors with or without an additional homoskedasticity assumption.
My joint paper with Daniel Schneider on response surface regressions for critical value bounds and approximate p-values in equilibrium correction models is now available as University of Exeter Economics Department Discussion Paper 19/01. The critical values for the bounds test and the procedure to obtain approximate p-values are implemented in our ardl Stata program that has been updated to version 1.0.2 on September 3, 2018. I have presented this program on September 7, 2018, at the London Stata Conference. The presentation slides are available online.
In the 2018/2019 academic year, I was again teaching the final-year undergraduate module Econometric Analysis (BEE3015) and the postgraduate module Quantitative Research Techniques 1 (BEEM102) at the University of Exeter Business School.

Last update: June 19, 2019

© Sebastian Kripfganz