Use of LSDVC (Kiviet bias correction)

[TomDoan]

This is an example of the use of the LSDVC procedure (see http://www.estima.com/forum/viewtopic.php?f=7&t=617) for estimating dynamic panel data models.

Code: Select all

*
* Example of estimation of a dynamic panel data model with LSDV
* corrected for bias.
*
compute n=94
cal(panelobs=6)
all 94//6
open data penngrow.txt
*
data(org=columns) / indiv year y x
*
* Least squares; doesn't allow for individual effects.
*
linreg y
# constant y{1} x
*
* Fixed effects. Severe bias with so few data points
*
preg(method=fixed) y
# y{1} x
*
* Anderson-Hsiao. Consistent, but has very low efficiency.
*
@lsdvc(method=ah) y
# x
*
* LSDV with Kiviet 3-term correction
*
@lsdvc(method=k3) y
# x

Data file

penngrow.txt

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