Home  >>  Archives  >>  Volume 16 Number 4  >>  st0463

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

Subscribe to the Stata Journal

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

Sebastian Kripfganz
University of Exeter Business School
Exeter, 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.
Terms of use     View this article (PDF)

View all articles by this author: Sebastian Kripfganz

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

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS