Sebastian Kripfganz

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

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Description
xtdpdgmm: Generalized method of moments estimation of linear dynamic panel data models
xtdpdgmm implements generalized method of moments estimators for linear dynamic panel models. Linear moment conditions in the spirit of Arellano and Bond (1991), Arellano and Bover (1995), Blundell and Bond (1998), and Hayakawa, Qi, and Breitung (2019) can be combined with the nonlinear moment conditions suggested by Ahn and Schmidt (1995) or Chudik and Pesaran (2022). One-step, two-step, iterated, and continuously-updating GMM estimators can be used. The Windmeijer (2005) finite-sample standard error correction and the doubly-corrected misspecification-robust standard errors of Hwang, Kang, and Lee (2022) are available. Possible model transformations include first differences, deviations from within-group means, and forward-orthogonal deviations. Available postestimation statistics include the Arellano and Bond (1991) and Jochmans (2020) tests for autocorrelation of the residuals, the Sargan-Hansen test for the validity of the overidentifying restrictions, a generalized Hausman test, and the Andrews and Lu (2001) model and moment selection criteria.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
net install xtdpdgmm, from(http://www.kripfganz.de/stata/)
or (less frequently updated):
ssc install xtdpdgmm
To display the currently installed version of this package, type the following in Stata's command window:
which xtdpdgmm
To update an existing version of this package, type the following in Stata's command window:
adoupdate xtdpdgmm, update
To access the help files of this package after the installation, type the following in Stata's command window:
help xtdpdgmm
help xtdpdgmm postestimation
Accompanying Article
Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.
Author
Sebastian Kripfganz
University of Exeter
Latest Version
version 2.6.2 03aug2022
Questions & Answers
Discussion at Statalist

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