Enrique Moral-Benito

STATA command xtmoralb

The STATA command xtmoralb implements the likelihood-based estimator I propose in the paper "Likelihood-based Estimation of Dynamic Panels with Predetermined Regressors" (JBES, 2013) as an alternative to alleviate the finite sample biases present in first differenced GMM (i.e. Arellano-Bond). It is therefore suitable for dynamic panel data models with predetermined regressors correlated with the individual effects.

You can download the command and its associated help menu (with an example) directly from STATA by typing in the STATA command window the following lines:

  • net from http://www.moralbenito.com
  • net describe xtmoralb
  • net install xtmoralb
  • help xtmoralb

You can also download the files from this website:

Then you will have to copy the xtmoralb.ado and the xtmoralb.sthlp files in the appropriate STATA ado folder (usually in C:\ado\plus).

 

Enrique Moral-Benito © 2012

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