XTDPDGMM: Stata module to perform generalized method of moments estimation of linear dynamic panel data models

Sebastian Kripfganz

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 13
Keywords: dynamic panel data; generalized method of moments (search for similar items in EconPapers)
Date: 2017-08-25, Revised 2022-08-05
Note: This module should be installed from within Stata by typing "ssc install xtdpdgmm". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmmfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmmfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm_postestimation.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lxtdpdgmm.mlib Mata object library (application/x-stata)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458395

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().