Thanks to Kit Baum, an update of -xtlsdvc- is available
on SSC via
SSC install xtlsdvc
The update fixes a bug making the option -initial(my)-
not to work properly. This was recently spotted by
Karl-Oskar Lindgren (Uppsala University) and yesterday
also by Miguel Portela ([email protected]) in Statalist.
-xtlsdvc- calculates bias corrected LSDV estimators
for autoregressive panel data models with small
cross-sectional dimension and strictly exogenous covariates
using the bias approximations in Bruno (2005a), who extends
the results by Bun and Kiviet (2003), Kiviet (1999) and
Kiviet (1995) to unbalanced panels.
Bruno (2005b) (under revision for the Stata Journal)
and downloadable from
http://ideas.repec.org/p/cri/cespri/wp165.html
describes the routine.
Bruno, G.S.F. 2005a. Approximating the bias of the LSDV estimator for
dynamic unbalanced panel data models. Economics Letters, 87, 361-366.
Bruno, G.S.F. 2005b. Estimation and inference in dynamic unbalanced panel
data models with a small number of individuals. CESPRI WP n.165 ,
Universit� Bocconi-CESPRI, Milan.
Bun, M.J.G., Kiviet, J.F., 2003. On the diminishing returns of higher
order terms in asymptotic expansions of bias. Economics Letters, 79,
145-152.
Kiviet, J.F., 1995. On Bias, Inconsistency and Efficiency of Various
Estimators in Dynamic Panel Data Models. Journal of Econometrics, 68,
53-78.
Kiviet, J.F., 1999. Expectation of Expansions for Estimators in a Dynamic
Panel Data Model; Some Results for Weakly Exogenous Regressors. In:
Hsiao, C., Lahiri, K., Lee, L.-F., Pesaran, M.H. (Eds.), Analysis of
Panel Data and Limited Dependent Variables. Cambridge University
Press, Cambridge.
Giovanni
--
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, Universit� Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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