XTDPDGMM: Stata module to perform generalized method of moments estimation of linear dynamic panel data models
Statistical Software Components from Boston College Department of Economics
xtdpdgmm implements generalized method of moments estimators for linear dynamic panel models. Linear moment conditions in the spirit of Arellano and Bond (1991), Arellano and Bover (1995), Blundell and Bond (1998), and Hayakawa, Qi, and Breitung (2019) can be combined with the nonlinear moment conditions suggested by Ahn and Schmidt (1995) or Chudik and Pesaran (2022). One-step, two-step, iterated, and continuously-updating GMM estimators can be used. The Windmeijer (2005) finite-sample standard error correction and the doubly-corrected misspecification-robust standard errors of Hwang, Kang, and Lee (2022) are available. Possible model transformations include first differences, deviations from within-group means, and forward-orthogonal deviations. Available postestimation statistics include the Arellano and Bond (1991) and Jochmans (2020) tests for autocorrelation of the residuals, the Sargan-Hansen test for the validity of the overidentifying restrictions, a generalized Hausman test, and the Andrews and Lu (2001) model and moment selection criteria.
Requires: Stata version 13
Keywords: dynamic panel data; generalized method of moments (search for similar items in EconPapers)
Date: 2017-08-25, Revised 2022-08-05
Note: This module should be installed from within Stata by typing "ssc install xtdpdgmm". 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/xtdpdgmm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmmfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmmfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpdgmm_postestimation.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lxtdpdgmm.mlib Mata object library (application/x-stata)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458395
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