Sebastian Kripfganz

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

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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 (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(http://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
Kripfganz, S., and J. Breitung (2022). Bias-corrected estimation of linear dynamic panel data models. Proceedings of the 2022 London Stata Conference.
Authors
Sebastian Kripfganz
University of Exeter
Jörg Breitung
University of Cologne
Latest Version
version 1.3.0 26may2022
Questions & Answers
Discussion at Statalist

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