Dear users,
I obtained the gauss code used for the estimation of the paper "X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION" by Han et al. (forthcoming in Economic Theory).
The results are based on simulation. Was wondering how to apply the code using my own data.
Could post/send the code if needed.
Thanks,
Ozey
5 Answers
0
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Thanks for posting the code. I copied and formatted it and then created a download link for the code:
Download a zip file containing the code, x_diff_dynamic_panel_estimation.zip
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I wasn't able to find the paper you cited at Economic Theory so I'm not sure what the structure of the data is.
The program itself has two infinite loops. I changed lines 149 on
endo;
endo;
endo;
endo;
to
endo;
iccc = iccc + 1;
endo;
icase = icase + 1;
endo;
ipcase = ipcase + 1;
endo;
and was able to get the program to run. I also added print statements at line 146:
t2 = (b8-rho)./w;
print b8;;
print t2;
tsim[is,.] = t2;
I'm guessing that b8 is a coefficient, and t2 a t-statistic, but I could be wrong. To use this on your data, extract lines 97 through 145 into another file, set y to a vector of your data, and set t to some value (I don't know what value it should be because I haven't seen the paper). You also need to add some code to estimate or set a value for rho. Then put print statements at the end printing out whatever results you need. I'm not sure this is right, but it might be.
0
Thanks so much Ron.
With regard to the paper I have found the working paper version: http://cowles.econ.yale.edu/P/cd/d17a/d1747.pdf
Many thanks again.
ozey
Your Answer
5 Answers
Thanks for posting the code. I copied and formatted it and then created a download link for the code:
Download a zip file containing the code, x_diff_dynamic_panel_estimation.zip
I wasn't able to find the paper you cited at Economic Theory so I'm not sure what the structure of the data is.
The program itself has two infinite loops. I changed lines 149 on
endo;
endo;
endo;
endo;
to
endo;
iccc = iccc + 1;
endo;
icase = icase + 1;
endo;
ipcase = ipcase + 1;
endo;
and was able to get the program to run. I also added print statements at line 146:
t2 = (b8-rho)./w;
print b8;;
print t2;
tsim[is,.] = t2;
I'm guessing that b8 is a coefficient, and t2 a t-statistic, but I could be wrong. To use this on your data, extract lines 97 through 145 into another file, set y to a vector of your data, and set t to some value (I don't know what value it should be because I haven't seen the paper). You also need to add some code to estimate or set a value for rho. Then put print statements at the end printing out whatever results you need. I'm not sure this is right, but it might be.
Thanks so much Ron.
With regard to the paper I have found the working paper version: http://cowles.econ.yale.edu/P/cd/d17a/d1747.pdf
Many thanks again.
ozey