New Stata Module to Estimate Shirley Almon Generalized Polynomial Distributed Lag Model

[Emad Shehata]

TITLE
'ALMON': Module to Estimate Shirley Almon Generalized Polynomial Distributed Lag Model

DESCRIPTION/AUTHOR(S)

almon estimates Shirley Almon Polynomial Distributed Lag Model
for many variables with different lag order, endpoint
restrictions, and polynomial degree order via (ALS - ARCH -
Box-Cox - GLS - GMM - OLS - QREG - Ridge) Regression models.
almon can compute Autocorrelation, Heteroscedasticity, and Non
Normality Tests, Model Selection Diagnostic Criteria, and
Marginal effects and elasticities in both short and long run.

KW: Regression
KW: Shirley Almon
KW: Autoregressive Least Squares (ALS)
KW: Autoregressive Conditional Heteroskedasticity (ARCH)
KW: Box-Cox Regression Model (Box-Cox)
KW: Generalized Least Squares (GLS)
KW: Generalized Method of Moments (GMM)
KW: Ordinary Least Squares (OLS)
KW: Quantile Regression
KW: Ridge Regression
KW: Polynomial Distributed Lag Model
KW: Autocorrelation
KW: Heteroscedasticity
KW: Non Normality
KW: Model Selection Diagnostic Criteria.

Requires: Stata version 11.2

Distribution-Date: 20151222

Author: Emad Abd Elmessih Shehata, Agricultural Economics Research Institute, Egypt
Support: email [email protected]


INSTALLATION FILES (click here to install)
almon.ado
almon.sthlp
almon.dlg

ANCILLARY FILES (click here to get)
almon.dta

[Hanna Lindstrom]

Dear Prof. Shehata,
Does this command handle cross sectional data? For example, I am running an XTGLS with my panel data (N=21, T=14) and would like to include the possibility of polynomial distributed lags (polynomial of order 3). Would this be possible using the Almon command?

Best regards,
Hanna Lindström, PhD student