XTUSREG: Stata module to estimate dynamic panel models under irregular time spacing

Yuya Sasaki and Yi Xin
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Yi Xin: California Institute of Technology

Statistical Software Components from Boston College Department of Economics

Abstract: xtusreg estimates coefficients of fixed-effect linear dynamic panel models under unequal spacing of time periods in data, based on the identification and estimation theories developed in Sasaki and Xin (2017). The admissible pattern of unequal spacing is the US Spacing -- see Definition 2 and Example 2 in Sasaki and Xin (2017). This spacing pattern is characterized by the availability of two pairs of two consecutive time gaps. For example, a data set that includes observations from surveys in years 1966, 1967, and 1970 is unequally spaced. However, it exhibits the US Spacing with two pairs, (0,1) and (3,4), of two consecutive time gaps, as there are 0-year gap between 1966 and 1966, 1-year gap between 1966 and 1967, 3-year gap between 1967 and 1970, and 4-year gap between 1966 and 1970. One may simply run the fixed-effect dynamic panel autoregression of the dependent variable alone. Alternatively, one may run the fixed-effect dynamic panel autoregression with time-varying covariate(s). The estimator is based on the normalization (see Sasaki and Xin, 2017, Appendix C.1) for robustness by default.

Language: Stata
Requires: Stata version 14.2
Keywords: dynamic panel data; panel models; fixed effects (search for similar items in EconPapers)
Date: 2020-04-19, Revised 2021-12-15
Note: This module should be installed from within Stata by typing "ssc install xtusreg". 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/n/NLS_OriginlFile ... /bocode/_/cohort.dta sample data file (application/x-stata)
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