Sebastian Kripfganz

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

Contact details   → Curriculum vitae

© Sebastian Kripfganz
Stata Programs
I have updated the xtdpdgmm Stata program to version 2.6.2 on August 3, 2022. A detailed set of slides for my featured talk at the 2019 London Stata Conference on the generalized method of moments estimation of linear dynamic panel data models is available online. I also gave a webinar at the University of Delhi on July 8, 2021, and a shorter presentation at the virtual Stata Conference on July 31, 2020.
The xtdpdbc Stata program was updated to version 1.3.0 on May 26, 2022. It implements the bias-corrected method of moments estimators for dynamic panel data models, developed jointly with with Jörg Breitung and Kazuhiko Hayakawa, which was recently accepted for publication in Econometrics and Statistics.
In a new working paper, Daniel Schneider and I describe the procedure and background for estimating autoregressive distributed lag and equilibrium correction models in Stata. The corresponding ardl Stata program has been updated to version 1.0.5 on March 29, 2022. A related article on response surface regressions for critical value bounds and approximate p-values in equilibrium correction models appeared earlier in the December 2020 issue of the Oxford Bulletin of Economics and Statistics.
Since April 2022, I am affiliated with the Research Center for Policy Design at Tohoku University as a visiting associate professor.
A working paper is now available for my project with Melanie Krause on the role of commuters for regional convergence at the county level. I have previously presented this work at the virtual 12th World Congress of the Econometric Society, the 25th International Panel Data Conference in Vilnius, the 6th International Association for Applied Econometrics Annual Conference in Nicosia, and the 18th International Workshop Spatial Econometrics and Statistics in Paris.
I was invited to present my xtivdfreg Stata program with Vasilis Sarafidis on the instrumental variable estimation of large-T panel data models with common factors at the 2021 Stata Economics Virtual Symposium. Previously, I presented it at the 2021 UK Stata Conference. An accompanying paper appeared in the September 2021 issue of the Stata Journal. The Stata program was last updated on February 12, 2021, to version 1.0.3.
For the 2020/2021 academic year, I won a teaching award for outstanding pastoral care at the University of Exeter Business School. As in previous years, I was again teaching the final-year undergraduate module Econometric Analysis (BEE3015) and the postgraduate module Econometric Theory 1 (BEEM139) in the current academic year.
Jan Kiviet's and my paper on instrument-free inference for linear regression models with endogenous regressors that describes the kinkyreg Stata program appeared in the September 2021 issue of the Stata Journal. The program was last updated on March 16, 2021, to version 1.1.1. I have presented the program at the 2020 UK Stata Conference and the 2021 German Stata Conference.
The xtseqreg Stata program for the sequential estimation of linear panel data models has been updated to version 1.2.4 on September 2, 2021. The program implements the standard error correction for two-stage estimators that Claudia Schwarz and I discuss in our paper on the estimation of linear dynamic panel data models with time-invariant regressors, which was published in the June/July 2019 issue of the Journal of Applied Econometrics.
Jan Kiviet and I wrote a note on the instrument approval by the Sargan test and its consequences for coefficient estimation. The paper appeared in the August 2021 issue of Economics Letters.
A manuscript for a joint project with Jan Kiviet on a reassessment of classic case studies in labor economics with new instrument-free methods is now available.
You can now follow me on Twitter to stay informed about my research and updates to my Stata commands.

Last update: August 3, 2022

© Sebastian Kripfganz
Senior Lecturer in Econometrics
University of Exeter Business School, Department of Economics
Visiting Associate Professor
Tohoku University, Graduate School of Economics and Management, Research Center for Policy Design