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st: -xtlsdvc- update on SSC


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: -xtlsdvc- update on SSC
Date   Thu, 8 Sep 2005 16:04:04 +0200

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 (reisportela@gmail.com) 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 ,
        UniversitÓ 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, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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