Roodman (Stata Journal, 2011) introduced the program cmp for using maximum likelihood to fit multiequation combinations of Gaussian-based models such as tobit, probit, ordered probit, multinomial probit, interval censoring, and continuous linear. This presentation describes substantial...

xtabond2 may hold the record among user-written Stata modules for the most confused users (and perhaps the most-confused too). In this presentation, I motivate and describe, in pedagogic fashion, the Arellano-Bond and Blundell-Bond linear GMM dynamic panel estimators, drawing lessons from a...