Quasi–maximum likelihood estimation of linear dynamic short-T panel-data models
Sebastian Kripfganz
University of Exeter Business School
Exeter, UK
[email protected]
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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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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
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