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The Stata Journal
Volume 16 Number 4: pp. 1013-1038



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Quasi–maximum likelihood estimation of linear dynamic short-T panel-data models

Sebastian Kripfganz
University of Exeter Business School
Exeter, UK
S.Kripfganz@exeter.ac.uk
Abstract.  In this article, I describe the xtdpdqml command for the quasi–maximum likelihood estimation of linear dynamic panel-data models when the time horizon is short and the number of cross-sectional units is large. Based on the theoretical groundwork by Bhargava and Sargan (1983, Econometrica 51: 1635–1659) and Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107–150), the marginal distribution of the initial observations is modeled as a function of the observed variables to circumvent a short-T dynamic panel-data bias. Both random-effects and fixed-effects versions are available.
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View all articles with these keywords: xtdpdqml, dynamic panel data, random effects, fixed effects, short-it T/ bias, quasi–maximum likelihood estimation, initial observations, unbalanced panel data

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