XTARSIM: Stata module to perform Monte Carlo analysis for dynamic panel data models

Giovanni Bruno ()

Statistical Software Components from Boston College Department of Economics

Abstract: The Monte Carlo strategy by McLeod and Hipel (Water Resources Research, 1978), originally thought for time series data, has been adapted to dynamic panel data models by Kiviet (1995). This procedure is more efficient than the traditional approaches in that it generates start-up values according to the data generation process, so it avoids wasting random numbers in the generation of initial conditions and also small sample non-stationarity problems. This presentation discusses my Stata implementation of Kiviet's (Journal of Econometrics, 1995) procedure, as used in Bruno (2005) and (2004) to evaluate the finite sample properties of theoretical approximations for the LSDV bias (Bruno (Economics Letters 2005; UKSUG 2004)) and of the bias-corrected LSDV estimator (Bruno (2004); Italian SUG 2004) in the presence of unbalanced designs.

Language: Stata
Requires: Stata version 8.0
Keywords: dynamic panel data; Monte Carlo simulations; finite sample properties (search for similar items in EconPapers)
Date: 2005-06-20
Note: This module should be installed from within Stata by typing "ssc install xtarsim". 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.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtarsim.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtarsim.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dyn_bias.do sample program (text/plain)
http://fmwww.bc.edu/repec/bocode/s/static2way_bias.do sample program (text/plain)

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