Are bias corrected estimators available in Stata?

[Prateek Bedi]

Hi,

Zhou, Faff & Alpert (2014) recommend a new class of dynamic panel analysis estimators for corporate finance: LSDV Corrected, Bootstrapped Bias Corrected, Indirect Inference. I would like to know if these estimators are available for use in STATA.

References:

Zhou, Q., Faff, R., & Alpert, K. (2014). Bias correction in the estimation of dynamic panel models in corporate finance. Journal Of Corporate Finance, 25, 494-513. doi: 10.1016/j.jcorpfin.2014.01.009

Thanks

[Phil Bromiley]

You didn't get a quick answer. I entered findit faff from the command line and it didn't find anything. A google search provided
https://www.statalist.org/forums/for...panel-analysis

https://www.researchgate.net/publica...ined_Estimator
which is for Reconciling Estimates of the Speed of Adjustment of Leverage Ratio: Minimum Variance Combined Estimator,

• Qing Zhou
• Robert Faff
• Karen Alpert

• May 2013
• SSRN Electronic Journal

mentions Stata so they may have discussed estimation using Stata.

[Dario Maimone Ansaldo Patti]

For lsdv corrected try xtlsdvc. For bootstrapped bias corrected try xtbcfe. both available using net install xtlsdvc and net install xtbcfe

[Prateek Bedi]

For lsdv corrected try xtlsdvc. For bootstrapped bias corrected try xtbcfe. both available using net install xtlsdvc and net install xtbcfe

Thanks a lot, Dario.