Last modified: 2006 Oct 03

Dynamic Panel Data

• For users of the Constrained Optimization package, Mark Harris provides a template program file (dpd_template.src) that calls the associated procedure file (dpd.src). (Harris Oct 2006)
• Chiang, M-H., and Kao, C., Nonstationary Panel Time Series NPT 1.2. Supporting paper: Chiang, M-H., and Kao, C., Nonstationary Panel Time Series Using NPT 1.2 - A User Guide, (npt.pdf) (most recent version here)
• Panel Var (Holtz-Eakin, Newey, and Rosen, Econometrica, 1988), (most recent version here)
• DPD, Manuel Arellano and Stephen Bond, December 1998. code (dpd98.zip), data (xdata.zip), and supporting paper: Dynamic Panel Data Estimation Using DPD98 for Gauss
  Most recent versions: code (dpd98.zip), data (xdata.zip), and supporting paper: Dynamic Panel Data Estimation Using DPD98 for Gauss
• A collection of Dynamic Panel Data routines (Harris Oct96). Harris comments:
  There are basically only two files - one for fixed and one for random effects. However I include numerous variants of these, corresponding to different sample sizes, different dgp's, etc. I've also included two papers which used these programs, as well as a brief "readme file.