XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8)

Mark Schaffer ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtivreg28 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg28, which must be installed for xtivreg28 to run. Users of Stata versions 9+ should use xtivreg2. xtivreg28 supports all the estimation and reporting options of ivreg28; see help ivreg28 for full descriptions and examples. In particular, all the statistics available with ivreg28 (heteroskedastic, cluster- and autocorrelation-robust covariance matrix and standard errors, overidentification and orthogonality tests, first-stage and weak/underidentification statistics, etc.) are also supported by xtivreg2 and will be reported with any degrees-of-freedom adjustments required for a panel data estimation.

Language: Stata
Requires: Stata version 8.2 and ivreg28 from SSC
Keywords: instrumental variables; panel data; fixed effects; first differences; Sargan test; robust estimation; orthogonality; GMM; Hansen's J; heteroskedastic OLS; HAC; bandwidth; k-class estimator; LIML (search for similar items in EconPapers)
Date: 2012-03-31
Note: This module should be installed from within Stata by typing "ssc install xtivreg28". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtivreg28.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtivreg28.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtivreg2_p.ado program code (text/plain)

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