Fitting and interpreting correlated random-coefficient models using Stata

Oscar Barriga-Cabanillas, Jeffrey Michler, Aleksandr Michuda () and Emilia Tjernström
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Aleksandr Michuda: University of California Davis

Stata Journal, 2018, vol. 18, issue 1, 159-173

Abstract: In this article, we introduce the community-contributed command randcoef, which fits the correlated random-effects and correlated random-coef- ficient models discussed in Suri (2011, Econometrica 79: 159–209). While this approach has been around for a decade, its use has been limited by the compu- tationally intensive nature of the estimation procedure that relies on the optimal minimum distance estimator. randcoef can accommodate up to five rounds of panel data and offers several options, including alternative weight matrices for estimation and inclusion of additional endogenous regressors. We also present postestimation analysis using sample data to facilitate understanding and inter- pretation of results.

Keywords: randcoef; correlated random effects; correlated random coeffi- cients; technology adoption; heterogeneity (search for similar items in EconPapers)
Date: 2018
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