STATA command xtmoralb

The STATA command xtmoralb implements the likelihood-based estimator I propose in my Job Market Paper 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:

• Ado file: xtmoralb.ado
• Help file: xtmoralb.sthlp
• Dataset: panel_growth.dta

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).

Replication material

• [Replication pack] for the paper:
  "Dynamic Panels with Predetermined Regressors: Likelihood-based Estimation and Bayesian Averaging with an Application to Cross-Country Growth" (2011)

• [Replication pack] for the paper:
  "Determinants of Economic Growth: A Bayesian Panel Data Approach" (2011)
  Review of Economics and Statistics, forthcoming