XTSEQREG: Stata module to perform sequential estimation of linear panel data models
Statistical Software Components from Boston College Department of Economics
xtseqreg implements sequential estimators for linear panel data models with the analytical second-stage standard error correction of Kripfganz and Schwarz (2019, Journal of Applied Econometrics). The command can be used to fit both stages of a sequential regression or either stage separately. One-step and two-step GMM estimation is possible at both stages including system-GMM estimation based on linear moment functions for the first-differenced and the levels model. Available postestimation statistics include the Arellano-Bond test for autocorrelation of the residuals and Hansen's J-test for the validity of the overidentifying restrictions.
Requires: Stata version 12.1
Keywords: panel data; sequential estimation (search for similar items in EconPapers)
Date: 2017-06-07, Revised 2020-08-10
Note: This module should be installed from within Stata by typing "ssc install xtseqreg". 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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http://fmwww.bc.edu/repec/bocode/x/xtseqreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtseqreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtseqreg_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtseqreg_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtseqreg_postestimation.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lxtseqreg.mlib Mata object library (application/x-stata)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458355
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