Sebastian Kripfganz

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

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Title and Abstract
Estimation of linear dynamic panel data models with time-invariant regressors
We present a sequential approach to estimating a dynamic Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors. In comparison to estimating all coefficients simultaneously, this two-stage procedure is more robust against model misspecification, allows for a flexible choice of the first-stage estimator, and enables simple testing of the overidentifying restrictions. For correct inference, we derive analytical standard error adjustments. We evaluate the finite-sample properties with Monte Carlo simulations and apply the approach to a dynamic gravity equation for U.S. outward foreign direct investment.
Suggested Citation
Kripfganz, S., and C. Schwarz (2019). Estimation of linear dynamic panel data models with time-invariant regressors. Journal of Applied Econometrics 34 (4), 526-546.
Related Work
Kripfganz, S., and J. Breitung (2022). Bias-corrected estimation of linear dynamic panel data models. Proceedings of the 2022 London Stata Conference.
Breitung, J., S. Kripfganz, and K. Hayakawa (2022). Bias-corrected method of moments estimators for dynamic panel data models. Econometrics and Statistics 24, 116-132.
Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.
Kripfganz, S. (2016). Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models. Stata Journal 16 (4), 1013-1038.
Authors
Sebastian Kripfganz
University of Exeter
Claudia Schwarz
European Central Bank
Journal Article
Journal of Applied Econometrics 34 (4), 526-546
Article DOI
10.1002/jae.2681
Supplements
Online appendix
Data set and Stata replication file
(JAE Data Archive)
Stata Program
xtseqreg

www.kripfganz.de