Generalized method of moments estimation of linear dynamic panel-data models

Sebastian Kripfganz
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Sebastian Kripfganz: University of Exeter

Carpathian Stata Conference 2026 from Stata Users Group

Abstract: In dynamic models with unobserved group-specific effects, the lagged dependent variable is an endogenous regressor by construction. The conventional fixed-effects estimator is biased and inconsistent under fixed-T asymptotics. To deal with this problem, “difference GMM” and “system GMM” estimators are predominantly applied in practice. I discuss recent developments in this area and present the Stata package xtdpdgmm, which provides a lot of flexibility in specifying the estimator—including nonlinear moment conditions, forward-orthogonal deviations, iterated or continuously updated GMM, and doubly robust standard errors. Useful postestimation features include overidentification and underidentification tests, as well as newly proposed serial-correlation tests.

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Persistent link: https://EconPapers.repec.org/RePEc:boc:carp26:01

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