Sebastian Kripfganz

Lecturer (assistant professor) in Economics,
University of Exeter Business School, Department of Economics
 
© Sebastian Kripfganz
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Description
xtdpdqml: Quasi-maximum likelihood estimation of linear dynamic short-T panel data models
xtdpdqml implements the unconditional quasi-maximum likelihood estimators of Bhargava and Sargan (1983) for linear dynamic panel models with random effects and Hsiao, Pesaran, and Tahmiscioglu (2002) for linear dynamic panel models with fixed effects when the number of cross sections is large and the time dimension is fixed. In the fixed-effects case, the estimator of Hsiao, Pesaran, and Tahmiscioglu (2002) maximizes the transformed likelihood function after a first-difference transformation of the model. Robust standard errors are available and unbalanced panel data sets are supported.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
net install xtdpdqml, from(http://www.kripfganz.de/stata/)
or (less frequently updated):
ssc install xtdpdqml
To display the currently installed version of this package, type the following in Stata's command window:
which xtdpdqml
To update an existing version of this package, type the following in Stata's command window:
adoupdate xtdpdqml, update
To access the help files of this package after the installation, type the following in Stata's command window:
help xtdpdqml
help xtdpdqml postestimation
Accompanying Article
Kripfganz, S. (2016). Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models. Stata Journal 16 (4), 1013-1038.
Author
Sebastian Kripfganz
University of Exeter
Latest Version
version 1.4.3 26feb2017
Questions & Answers
Discussion at Statalist

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