Sebastian Kripfganz

Lecturer (assistant professor) in Economics,
University of Exeter Business School, Department of Economics
 
© Sebastian Kripfganz
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Stata Programs
Description
xtseqreg: Sequential estimation of linear panel data models
xtseqreg implements sequential estimators for linear panel data models with the analytical second-stage standard error correction of Kripfganz and Schwarz (2015). The command can be used to fit both stages of a sequential regression or either stage separately. One-step and two-step GMM estimation is possible at both stages including system-GMM estimation based on linear moment functions for the first-differenced and the levels model. Available postestimation statistics include the Arellano-Bond test for autocorrelation of the residuals and Hansen's J-test for the validity of the overidentifying restrictions.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
net install xtseqreg, from(http://www.kripfganz.de/stata/)
or (less frequently updated):
ssc install xtseqreg
To display the currently installed version of this package, type the following in Stata's command window:
which xtseqreg
To update an existing version of this package, type the following in Stata's command window:
adoupdate xtseqreg, update
To access the help files of this package after the installation, type the following in Stata's command window:
help xtseqreg
help xtseqreg postestimation
Accompanying Article
Kripfganz, S. and C. Schwarz (2015). Estimation of linear dynamic panel data models with time-invariant regressors. ECB Working Paper 1838, European Central Bank.
Author
Sebastian Kripfganz
University of Exeter
Latest Version
version 1.1.2 04jun2017
Questions & Answers
Discussion at Statalist

www.kripfganz.de