Time Fixed-Effect with xtdpdml

[Talha Simsek]

Hi everyone,

I would like to know how to add time fixed-effects when using xtdpdml. Does the command already account for them by default?

In the paper by Williams, R., Allison, P. D., and Moral-Benito, E. (2018), Linear dynamic panel-data estimation using maximum likelihood and structural equation modeling. The Stata Journal, 18(2), 293–326, the equation shown on page 300 includes both time and observation fixed-effects. However, in the example code on page 301 there is no explicit specification for the α_i and ξ_t terms.

Could someone clarify whether xtdpdml automatically includes time fixed-effects, and if not, how they can be specified?

Thank you in advance for your help.

[Clyde Schechter]

Yes, -xtdpdml- handles the time fixed effects automatically. However, for that to work correctly you must carefully heed the conditions set out in its help file:

Data should be xtset with both the panel id and time variable specified. The time variable should
be coded t = 1, 2, 3, ..., T, and delta (the period between observations) should equal 1. Other
values for t (e.g. years, or starting at 0, or skipped values of t) will likely produce error
messages or incorrect results. If necessary, recode the time variable before running xtdpdml. Or,
you can use the tfix option and let xtdpdml recode the time variable for you (but you can still get
errors if, say, delta was not specified correctly in the source data set, e.g. data were collected
every two years and delta was set to 1). The model assumes that time intervals are equally spaced.

[Richard Williams]

You might also check the xtdpdml help file section on "Interactions with Time". xtdpdml allows interactions with time, but the procedure is different than with most commands.

The Stata Journal article can be found at

https://journals-sagepub-com.proxy.l...867X1801800201