I have developed a new Stata estimation command for quasi-maximum likelihood estimation of linear dynamic panel data models with a short time horizon, in particular the random-effects ML estimator by Bhargava and Sargan (1983) and the fixed-effects transformed ML estimator by Hsiao, Pesaran, and Tahmiscioglu (2002).

The program can be installed by typing

net from "http://www.kripfganz.de/stata/"

in Stata’s command window.

A help file that documents the command syntax and the available options can be accessed by typing

help xtdpdqml

Postestimation commands can be used as well, see

help xtdpdqml postestimation

A preliminary background note is available at www.kripfganz.de

Comments and suggestions are welcome.

Literature:

- Bhargava, A. and J. D. Sargan (1983). Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods.

*Econometrica*51 (6), 1635-1659.

- Hsiao, C., M. H. Pesaran, and A. K. Tahmiscioglu (2002). Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods.

*Journal of Econometrics*109 (1), 107-150.

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