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 (2022) for linear dynamic panel data models with unobserved group-specific effects. The fixed-effects version of 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(https://www.kripfganz.de/stata/)
or (less frequently updated):
→ ssc install xtdpdbc
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
