[Fan Zheng]

This error occurs when Stata cannot find the command's Mata library, which can happen if the command was not properly installed. Restarting Stata might help. Did you install the xtdpdbc package using the ssc or net install command? Sometimes typing the following in the command window helps to make Stata aware of the Mata library:

mata mata mlib index

Problem solved!
As you suggested, I restarted Stata and typed the code. It's running now. I installed using ssc.
Thanks a lot.

[Israel Garcia]

Hi Sebastian,
Having a great time using your command for my research. I was trying to perform a kind of out-of-sample test for my estimated coefficients by restricting the sample size and then adding more observations. I thought of using

suest

given that your command allows for predict, however I always get the same error:

estimated with a nonstandard vce (conventional)

.
Do you have a solution within the

suest

environmnet or perhaps trying a different approach?
Thanks a lot and Merry Christmas!

[Sebastian Kripfganz]

Israel Garcia
I am afraid the answer is that xtdpdbc does not currently support suest. I have made a note on my to-do list but I cannot promise a quick update.

My suggestion would be to use my xtdpdqml command instead, which often yields very similar results to xtdpdbc. To use suest, you need to specify the option mlparams with xtdpdqml.

[Sorphasith jumong]

Dear Sebastian,

Many thanks for creating new useful Stata command, can you please explain more the command of xtdpdbc to implement with unbalanced panel data ? Thank you

[Sebastian Kripfganz]

The command should normally work the same way with unbalanced panels as with balanced panels. Just note that dynamic models require that there are no gaps in your time series.

[Sorphasith jumong]

The command should normally work the same way with unbalanced panels as with balanced panels. Just note that dynamic models require that there are no gaps in your time series.

Ok, I got it, Many thanks

[Der Lancken]

Hello Sebastian,
I've encountered a weird problem when working with your excellent code, i cant run estat serial, ar

I've looked at your previous posts in this thread about it and I write the same stuff as you do but, i get this error "not sorted"

You run the same test in post #19 and you just write it like estat serial, ar(1/3) however it doesnt work for me... I've been trying to troubleshoot this for an hour now reading your manual and the help postestimation stuff


xtdpdbc d.DC REALI d.GFCF GDP_GR INEQ DEREG PORTF, fe vce(robust) lags(2) teffects
note: 9 groups are dropped due to gaps or insufficient number of observations

Bias-corrected estimation
Iteration 0: F(b) = 148.095
Iteration 1: F(b) = .02383223
Iteration 2: F(b) = 1.667e-09
Iteration 3: F(b) = 8.253e-24

Group variable: countryID Number of obs = 367
Time variable: Years Number of groups = 14

Fixed-effects model Obs per group: min = 11
avg = 26.21429
max = 35

(Std. err. adjusted for clustering on countryID)
------------------------------------------------------------------------------
| Robust
D.DC | Coefficient std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
DC |
LD. | .0852119 .0601579 1.42 0.157 -.0326954 .2031192
|
REALI | .0482445 .1950109 0.25 0.805 -.3339698 .4304588
|
GFCF |
D1. | 2.783083 .6950585 4.00 0.000 1.420794 4.145373
|
GDP_GR | -.9574042 .4851284 -1.97 0.048 -1.908238 -.0065701
INEQ | . 4740026 .2616798 1.81 0.070 -.0388804 .9868855
DEREG | 2.724067 .8431059 3.23 0.001 1.07161 4.376525
PORTF | -.4726161 .1153936 -4.10 0.000 -.6987835 -.2464487
|
Years |
1983 | -1.293794 2.752904 -0.47 0.638 -6.689387 4.101799
1984 | -1.305243 2.58306 -0.51 0.613 -6.367948 3.757462
1985 | -2.800389 2.774858 -1.01 0.313 -8.239011 2.638232
1986 | 1.377751 4.910492 0.28 0.779 -8.246636 11.00214
1987 | -4.150164 2.650621 -1.57 0.117 -9.345286 1.044958
1988 | -2.308038 2.908657 -0.79 0.427 -8.0089 3.392824
1989 | .2437326 2.780284 0.09 0.930 -5.205524 5.692989
1990 | -4.973752 2.788143 -1.78 0.074 -10.43841 .4909084
1991 | -4.982039 3.023606 -1.65 0.099 -10.9082 .9441194
1992 | -2.638841 2.483588 -1.06 0.288 -7.506585 2.228903
1993 | -5.31538 2.182822 -2.44 0.015 -9.593632 -1.037127
1994 | -3.029258 3.151915 -0.96 0.337 -9.206898 3.148382
1995 | -4.150733 3.036973 -1.37 0.172 -10.10309 1.801624
1996 | -5.198202 3.127607 -1.66 0.097 -11.3282 .9317954
1997 | 1.415862 3.209285 0.44 0.659 -4.874221 7.705945
1998 | -5.155784 3.432988 -1.50 0.133 -11.88432 1.572748
1999 | .8279091 3.162888 0.26 0.794 -5.371237 7.027056
2000 | .8915087 8.424864 0.11 0.916 -15.62092 17.40394
2001 | -.0537508 8.282745 -0.01 0.995 -16.28763 16.18013
2002 | -8.248197 2.988416 -2.76 0.006 -14.10539 -2.391009
2003 | -5.384594 3.193444 -1.69 0.092 -11.64363 .8744417
2004 | -5.91146 3.666597 -1.61 0.107 -13.09786 1.274939
2005 | -1.718478 2.706641 -0.63 0.525 -7.023398 3.586442
2006 | -2.914727 3.757536 -0.78 0.438 -10.27936 4.449907
2007 | -12.96102 6.918338 -1.87 0.061 -26.52071 .5986739
2008 | -11.25987 6.059859 -1.86 0.063 -23.13697 .6172364
2009 | -4.639794 3.010552 -1.54 0.123 -10.54037 1.260779
2010 | -8.451309 3.629645 -2.33 0.020 -15.56528 -1.337336
2011 | -13.16799 4.381721 -3.01 0.003 -21.756 -4.579972
2012 | -11.19382 4.062111 -2.76 0.006 -19.15541 -3.232227
2013 | -7.223011 4.02689 -1.79 0.073 -15.11557 .669548
2014 | -11.67965 4.766727 -2.45 0.014 -21.02226 -2.337036
2015 | -8.202296 3.662608 -2.24 0.025 -15.38088 -1.023715
2016 | -3.849129 3.65336 -1.05 0.292 -11.00958 3.311326
|
_cons | -20.48276 8.942092 -2.29 0.022 -38.00893 -2.956579
------------------------------------------------------------------------------

. estat serial, ar(1/2)
not sorted

and by the way since my lagged dependent variable isnt significant does that mean that its not necessary to even include it? Should i use another model or something?

Sorry for bothering you with this, but help would be greatly appreciated

[Sebastian Kripfganz]

This looks like a bug. To investigate it further, I would need to be able to replicate it. Would it be possible for you to send me your data set by e-mail?

Please initially check whether you have the latest version 1.3.0 of the package:

which xtdpdbc

If your lagged dependent variable is statistically insignificant, estimating a static model could indeed be an alternative. However, keep in mind that absence of statistical significance does not imply evidence of no effect.

[Sebastian Kripfganz]

The problem reported in post #37 occured because the dependent variable was specified with a time-series operator (d.). This problem has now been fixed in an update to version 1.3.1 of the xtdpdbc package, available from my personal website:

net install xtdpdbc, from(http://www.kripfganz.de/stata) replace

[Sebastian Kripfganz]

A minor update to version 1.3.2 is available for the xtdpdbc package:

net install xtdpdbc, from(http://www.kripfganz.de/stata/) replace

It highlights in the postestimation help file that the new package xtdpdserial can be used as a postestimation command after xtdpdbc for state-of-the-art serial correlation testing.