XTBCFE: Stata module to perform bootstrap-corrected Fixed Effects estimation and inference in dynamic panel models

Ignace De Vos, Ilse Ruyssen and Gerdie Everaert

Statistical Software Components from Boston College Department of Economics

Abstract: xtbcfe is a bootstrap-corrected fixed effects (LSDV) estimator for dynamic panel data models of general order. It estimates the specified model with the fixed effects estimator and corrects its small T bias (see Nickell, 1981) using a simplified but extended version of the approach presented in Everaert and Pozzi (2007). The algorithm evaluates the bias of the fixed effects estimator in a numerical way to avoid the use of analytical correction formulas. xtbcfe is therefore also applicable to higher order (more than one lag of the dependent variable) models with a potential non-standard error structure. With an appropriate choice of the resampling scheme, xtbcfe can take into account several heteroscedasticity and cross-sectional dependence patterns that would invalidate the standard (analytical) correction methods. Inference can be performed using either parametric or non-parametric bootstrap.

Language: Stata
Requires: Stata version 11, estout, moremata and distinct from SSC (q.v.)
Keywords: fixed effects; dynamic panels; bootstrap; Nickell bias (search for similar items in EconPapers)
Date: 2015-05-07
Note: This module should be installed from within Stata by typing "ssc install xtbcfe". 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/xtbcfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbcfe_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbcfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbcfe_examples.do sample file (text/plain)

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