Since May 31, 2017, the new
xtdpdgmm Stata program
for efficient generalized method of moments estimation of linear dynamic panel data models is available for installation from this website. In particular, it allows to incorporate nonlinear moment conditions derived under the assumption of serially uncorrelated errors. The latest update has been released on May 4, 2018, to version 1.0.2.
In the 2017/2018 academic year, I was teaching the third-year undergraduate module Econometric Analysis (BEE3015) and the postgraduate module Quantitative Research Techniques 1 (BEEM102) at the University of Exeter Business School.
I have presented the
xtseqreg Stata program
at the German Stata Users Group Meeting in Berlin (June 23, 2017) and the UK Stata Users Groups Meeting in London (September 7, 2017). The program has been updated to version 1.2.2 on October 2, 2017. It can be used to estimate two-stage panel data models as described in my paper with Claudia Schwarz on the
estimation of linear dynamic panel data models with time-invariant regressors
A Stata replication file for our empirical results is available as supplementary material.