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XTSEQREG: Stata module to perform sequential estimation of linear panel data models

Sebastian Kripfganz

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
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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Downloads: (external link)
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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