XTBCFE: Stata module to perform bootstrap-corrected Fixed Effects estimation and inference in dynamic panel models
(2015)- Abstract
- xtbcfe is a bootstrap-corrected fixed effects (LSDV) estimator for dynamic panel data models of general order. It estimates the specified model with the fixed effects estimator and corrects its small T bias (see Nickell, 1981) using a simplified but extended version of the approach presented in Everaert and Pozzi (2007). The algorithm evaluates the bias of the fixed effects estimator in a numerical way to avoid the use of analytical correction formulas. xtbcfe is therefore also applicable to higher order (more than one lag of the dependent variable) models with a potential non-standard error structure. With an appropriate choice of the resampling scheme, xtbcfe can take into account several heteroscedasticity and cross-sectional dependence... (More)
- xtbcfe is a bootstrap-corrected fixed effects (LSDV) estimator for dynamic panel data models of general order. It estimates the specified model with the fixed effects estimator and corrects its small T bias (see Nickell, 1981) using a simplified but extended version of the approach presented in Everaert and Pozzi (2007). The algorithm evaluates the bias of the fixed effects estimator in a numerical way to avoid the use of analytical correction formulas. xtbcfe is therefore also applicable to higher order (more than one lag of the dependent variable) models with a potential non-standard error structure. With an appropriate choice of the resampling scheme, xtbcfe can take into account several heteroscedasticity and cross-sectional dependence patterns that would invalidate the standard (analytical) correction methods. Inference can be performed using either parametric or non-parametric bootstrap. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/aed7faf9-3164-4976-93ec-82ea3cbb1f7a
- author
- De Vos, Ignace LU ; Everaert, Gerdie and Ruyssen, Ilse
- publishing date
- 2015
- type
- Non-textual form
- publication status
- published
- subject
- keywords
- XTBCFE, STATA
- publisher
- Boston College Department of Economics Statistical Software Components
- language
- English
- LU publication?
- no
- additional info
- Software component
- id
- aed7faf9-3164-4976-93ec-82ea3cbb1f7a
- date added to LUP
- 2018-11-08 15:21:04
- date last changed
- 2018-11-21 21:43:03
@misc{aed7faf9-3164-4976-93ec-82ea3cbb1f7a, abstract = {{xtbcfe is a bootstrap-corrected fixed effects (LSDV) estimator for dynamic panel data models of general order. It estimates the specified model with the fixed effects estimator and corrects its small T bias (see Nickell, 1981) using a simplified but extended version of the approach presented in Everaert and Pozzi (2007). The algorithm evaluates the bias of the fixed effects estimator in a numerical way to avoid the use of analytical correction formulas. xtbcfe is therefore also applicable to higher order (more than one lag of the dependent variable) models with a potential non-standard error structure. With an appropriate choice of the resampling scheme, xtbcfe can take into account several heteroscedasticity and cross-sectional dependence patterns that would invalidate the standard (analytical) correction methods. Inference can be performed using either parametric or non-parametric bootstrap.}}, author = {{De Vos, Ignace and Everaert, Gerdie and Ruyssen, Ilse}}, keywords = {{XTBCFE; STATA}}, language = {{eng}}, publisher = {{Boston College Department of Economics Statistical Software Components}}, title = {{XTBCFE: Stata module to perform bootstrap-corrected Fixed Effects estimation and inference in dynamic panel models}}, year = {{2015}}, }