xtspj: A command for split-panel jackknife estimation

In this article, we present a new command, xtspj, that corrects for incidental parameter bias in panel-data models with fixed effects. The correc- tion removes the first-order bias term of the maximum likelihood estimate using the split-panel jackknife method. Two variants are implemented: the jackknifed maximum-likelihood estimate and the jackknifed log-likelihood function (with cor- responding maximizer). The model may be nonlinear or dynamic, and the covari- ates may be predetermined instead of strictly exogenous. xtspj implements the split-panel jackknife for fixed-effects versions of linear, probit, logit, Poisson, ex- ponential, gamma, Weibull, and negbin2 regressions. It also accommodates other models if the user specifies the log-likelihood function (and, possibly but not nec- essarily, the score function and the Hessian). xtspj is fast and memory efficient, and it allows large datasets. The data may be unbalanced. xtspj can also be used to compute uncorrected maximum-likelihood estimates of fixed-effects models for which no other xt (see [XT] xt) command exists.