ACREG: Stata module to perform Arbitrary Correlation Regression

Fabrizio Colella, Rafael Lalive, Seyhun Sakalli () and Mathias Thoenig
Additional contact information
Seyhun Sakalli: King's College London, UK

Statistical Software Components from Boston College Department of Economics

Abstract: acreg allows users to obtain coefficient standard errors allowing for an arbitrarily flexible degree of correlation structure; acreg stands for “arbitrary correlation regression”. Specifically, when estimating a regression in a spatial setting, the command allows errors to be correlated within a circle around each observation, and the user specifies the radius of that circle. Likewise, in a network regression setting, the command allows errors to be correlated among neighbors, or neighbors of neighbors, and the user specifies the maximum degree up to which she suspects a correlation. The command provides standard errors for models estimated with OLS or 2SLS in cross-sectional, panel, or network settings.

Language: Stata
Requires: Stata version 12 and ivreg2, ranktest, hdfe from SSC (q.v.)
Keywords: regression; error correlation; spatial regression; IV; 2SLS (search for similar items in EconPapers)
Date: 2020-12-18, Revised 2020-12-20
Note: This module should be installed from within Stata by typing "ssc install acreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (3)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/acreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/acreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/a/acregpackcheck.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/nwexample.dta sample data file (application/x-stata)

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