Sebastian Kripfganz

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

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Research
Stata Programs
Description
xtdpdbc: Bias-corrected estimation of linear dynamic panel data models
xtdpdbc implements the bias-corrected method of moments estimator of Breitung, Kripfganz, and Hayakawa (2021) for linear dynamic panel data models with unobserved group-specific effects. The estimator is equivalent to the adjusted profile likelihood estimator of Dhaene and Jochmans (2016) and, for models with a single lag of the dependent variable, to the iterative bias-corrected estimator of Bun and Carree (2005). The estimator can accommodate higher-order autoregressive dynamics. Unbalanced panel data sets are supported as well.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
net install xtdpdbc, from(http://www.kripfganz.de/stata/)
To display the currently installed version of this package, type the following in Stata's command window:
which xtdpdbc
To update an existing version of this package, type the following in Stata's command window:
adoupdate xtdpdbc, update
To access the help files of this package after the installation, type the following in Stata's command window:
help xtdpdbc
help xtdpdbc postestimation
Accompanying Article
Breitung, J., S. Kripfganz, and K. Hayakawa (2021). Bias-corrected method of moments estimators for dynamic panel data models. Econometrics and Statistics, forthcoming.
Author
Sebastian Kripfganz
University of Exeter
Latest Version
version 1.1.0 30jul2021
Questions & Answers
Discussion at Statalist

www.kripfganz.de