Panel data

XTDOLSHM: estimates a model for Cointegrated Panel Data using Kao and Chiang (2000) Dynamic Ordinary Least Squares (dols) for Cointegrated Panel Data with homogeneous long-run covariance structure accross cross-sectional units. Made by Diallo Ibrahima Amadou, Centre d’Etudes et de Recherches sur le Développement International, CERDI (link).

XTFMB: an implementation of the Fama and MacBeth (1973) two step procedure. The procedure works as follows: first, for each single time period a cross-sectional regression is performed. Then, the final coefficient estimates are obtained as the average of the first step coefficient. Written by Daniel Hoechle, University of Basel (link).

XTLSDVC: calculates bias corrected LSDV estimators for the standard autoregressive panel data model using the bias approximations in Bruno (2005a), who extends the results by Bun and Kiviet (2003), Kiviet (1999) and Kiviet (1995) to unbalanced panels. Made by Giovanni S. F. Bruno, Istituto di Economia Politica, Università Bocconi (link).

XTOVERID: computes versions of a test of overidentifying restrictions (orthogonality conditions) for a panel data estimation. Made by Mark E Schaffer, Heriot-Watt University, and Steven Stillman, Motu Economic and Public Policy Research (link).