Quasi–maximum likelihood estimation of linear dynamic short-T panel-data models

• Kripfganz, Sebastian ^[1]
  1. [1] University of Exeter

     University of Exeter

     Exeter District, Reino Unido

     
• Localización: The Stata journal, ISSN 1536-867X, Vol. 16, Nº. 4, 2016, págs. 1013-1038
• Idioma: inglés
• DOI: 10.1177/1536867x1601600411
• Enlaces
  • Texto completo
• Dialnet Métricas: 2 Citas
• Resumen

  • In this article, I describe the xtdpdqml command for the quasi–maximum likelihood estimation of linear dynamic panel-data models when the time horizon is short and the number of cross-sectional units is large. Based on the theoretical groundwork by Bhargava and Sargan (1983, Econometrica 51: 1635–1659) and Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107–150), the marginal distribution of the initial observations is modeled as a function of the observed variables to circumvent a short-T dynamic panel-data bias. Both random-effects and fixed-effects versions are available.