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XTDPDQML: Stata module to perform quasi-maximum likelihood linear dynamic panel data estimation

Sebastian Kripfganz

Statistical Software Components from Boston College Department of Economics

Abstract: xtdpdqml implements the unconditional quasi-maximum likelihood estimators of Bhargava and Sargan (1983) for linear dynamic panel models with random effects and Hsiao, Pesaran, and Tahmiscioglu (2002) for linear dynamic panel models with fixed effects when the number of cross sections is large and the time dimension is fixed. In the fixed-effects case, the estimator of Hsiao, Pesaran, and Tahmiscioglu (2002) maximizes the transformed likelihood function after a first-difference transformation of the model. Robust standard errors are available and unbalanced panel data sets are supported.

Language: Stata
Requires: Stata version 12.1
Keywords: dynamic panel data; maximum likelihood (search for similar items in EconPapers)
Date: 2016-08-13, Revised 2017-03-04
Note: This module should be installed from within Stata by typing "ssc install xtdpdqml". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (1)

Downloads: (external link) program code (text/plain) help file (text/plain) program code (text/plain) program code (text/plain) help file (text/plain) Mata object library (application/x-stata)

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