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XTARSIM: Stata module to perform Monte Carlo analysis for dynamic panel data models

Author

Listed:
  • Giovanni S.F. Bruno

    (Universita Commerciale Luigi Bocconi, Milano)

Programming Language

Stata

Abstract

The Monte Carlo strategy by McLeod and Hipel (Water Resources Research, 1978), originally thought for time series data, has been adapted to dynamic panel data models by Kiviet (1995). This procedure is more efficient than the traditional approaches in that it generates start-up values according to the data generation process, so it avoids wasting random numbers in the generation of initial conditions and also small sample non-stationarity problems. This presentation discusses my Stata implementation of Kiviet's (Journal of Econometrics, 1995) procedure, as used in Bruno (2005) and (2004) to evaluate the finite sample properties of theoretical approximations for the LSDV bias (Bruno (Economics Letters 2005; UKSUG 2004)) and of the bias-corrected LSDV estimator (Bruno (2004); Italian SUG 2004) in the presence of unbalanced designs.

Suggested Citation

  • Giovanni S.F. Bruno, 2005. "XTARSIM: Stata module to perform Monte Carlo analysis for dynamic panel data models," Statistical Software Components S453801, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s453801
    Note: This module should be installed from within Stata by typing "ssc install xtarsim". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtarsim.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtarsim.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dyn_bias.do
    File Function: sample program
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/static2way_bias.do
    File Function: sample program
    Download Restriction: no
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