Title and Abstract
Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models
In this article, I describe the xtdpdqml command for the quasi-maximum likelihood estimation of linear dynamic panel-data models when the time horizon is short and the number of cross-sectional units is large. Based on the theoretical groundwork by Bhargava and Sargan (1983, Econometrica 51: 1635-1659) and Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107-150), 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. Both random-effects and fixed-effects versions are available.
Suggested Citation
Kripfganz, S. (2016). Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models.
Stata Journal 16 (4), 1013-1038.
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