*! version 1.4.3 26feb2017

*! Sebastian Kripfganz, www.kripfganz.de

Title

xtdpdqml postestimation -- Postestimation tools for xtdpdqml

Description

The following postestimation command is of special interest after xtdpdqml:

Command Description

estat serial perform test for autocorrelated residuals

The following standard postestimation commands are available:

Command Description

estat AIC, BIC, VCE, and estimation sample summary

predict predictions, residuals, influence statistics, and other diagnostic measures

* suest seemingly unrelated estimation

* suest is available only after xtdpdqml, mlparams without option stationary. It is appropriate only with option vce(cluster panelvar).

Syntax for predict

predict [type] newvar [if] [in] [, statistic options]

predict [type] {stub*|newvar1 ... newvarq} [if] [in] , scores [options]

statistic

Main
xb calculate linear prediction; the default

stdp calculate standard error of the prediction

ue calculate the combined residual

* xbu calculate prediction including unit-specific error component

* u calculate the the unit-specific error component

* e calculate the idiosyncratic error component

* scores calculate the equation-level scores

ue, xbu, and u are not available after xtdpdqml, fe mlparams.
scores is available only after xtdpdqml, mlparams without option stationary.

options

Options
equation(eqno) specify equation

Options for predict

Main

xb calculates the linear prediction from the fitted model; see [R] predict. This is the default.
After xtdpdqml, fe mlparams it calculates the linear prediction from the first-differenced model.

stdp calculates the standard error of the linear prediction; see [R] predict.

ue calculates the prediction of u_i + e_it, the combined residual; see [XT] xtreg postestimation.
This option is not available after xtdpdqml, fe mlparams.

xbu calculates the linear prediction including the unit-specific error component; see [XT] xtreg postestimation.
This option is not available after xtdpdqml, fe mlparams.

u calculates the prediction of u_i, the estimated unit-specific error component; see [XT] xtreg postestimation.
This option is not available after xtdpdqml, fe mlparams.

e calculates the prediction of e_it; see [XT] xtreg postestimation.
After xtdpdqml, fe mlparams it calculates the prediction of D.e_it, the first-differenced residual.

scores calculates the equation-level score variables; see [R] predict. This is the derivative of the log-likelihood function with respect to the linear prediction.
Ancillary parameters make up separate equations. This option is available only after xtdpdqml, mlparams without option stationary.

Options

equation(eqno) specifies the equation to which you are referring; see [R] predict.

Syntax for estat serial

estat serial [, ar(numlist)]

Description for estat serial

estat serial reports the Arellano and Bond (1991) test for autocorrelation of the first-differenced residuals. estat serial is available only after xtdpdqml, mlparams without option stationary.

Options for estat serial

ar(numlist) specifies the orders of serial correlation to be tested. The default is ar(1 2).

Example

Setup

. webuse abdata

Hausman specification test

. xtdpdqml n w k

. estimates store fe

. xtdpdqml n w k, re initval(.1 .2 .2 .3)

. estimates store re

. hausman fe re

Likelihood-ratio and Wald tests for joint significance of time dummies

. xtdpdqml n w k yr1978-yr1984

. lrtest fe

. testparm yr*

Compute long-run effects

. nlcom (_b[w] / (1 - _b[L.n])) (_b[k] / (1 - _b[L.n]))

Generalized (robust) Hausman specification test

. xtdpdqml n w k yr1978-yr1984, mlparams

. estimates store fe

. xtdpdqml n w k yr1978-yr1984, re initval(.1 .2 .2 .3) mlparams

. estimates store re

. suest fe re, vce(cluster id)

. test ([fe__model]LD.n = [re__model]L.n) ([fe__model]D.w = [re__model]w) ([fe__model]D.k = [re__model]k)

Arellano-Bond test for autocorrelation of the first-differenced residuals

. estimates restore fe

. estat serial

. estimates restore re

. estat serial

Author

Sebastian Kripfganz, University of Exeter, http://www.kripfganz.de

References

Arellano, M., and S. R. Bond. 1991.
Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations.
Review of Economic Studies 58: 277-297.