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