Economics at your fingertips  

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

Sebastian Kripfganz

Stata Journal, 2016, vol. 16, issue 4, 1013-1038

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. Copyright 2016 by StataCorp LP.

Keywords: xtdpdqml; dynamic panel data; random effects; fixed effects; short-T bias; quasi–maximum likelihood estimation; initial observations; unbalanced panel data (search for similar items in EconPapers)
Date: 2016
Note: to access software from within Stata, net describe
References: Add references at CitEc
Citations: View citations in EconPapers (26) Track citations by RSS feed

Downloads: (external link) link to article purchase

Related works:
Working Paper: xtdpdqml: Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models (2016) Downloads
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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LP
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().

Page updated 2023-01-26
Handle: RePEc:tsj:stataj:v:16:y:2016:i:4:p:1013-1038