XTEWREG: Stata module to estimate errors-in-variable model with mismeasured regressors

Timothy Erickson (), Robert Parham and Toni Whited
Additional contact information
Timothy Erickson: US Bureau of Labor Statistics

Statistical Software Components from Boston College Department of Economics

Abstract: xtewreg runs an errors-in-variables regression, with arbitrarily many mismeasured and perfectly measured regressors. It uses either the higher-order cumulant estimators from Erickson, Jiang, and Whited (2014, Journal of Econometrics) or the High-Order-Moments method of Erickson and Whited (2000, Journal of Political Economy), also described in Erickson & Whited (2002, Econometric Theory).

Language: Stata
Requires: Stata version 12
Keywords: errors-in-variables; measurement error; Erickson; Whited; high-order moments (search for similar items in EconPapers)
Date: 2012-09-27, Revised 2016-09-02
Note: This module should be installed from within Stata by typing "ssc install xtewreg". 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. An earlirr version of this routine was circulated as package ewreg.
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Citations: View citations in EconPapers (1)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtewreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtewreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtewreg_example.do sample file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/EPW.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/e/EW2011RFS.dta sample data file (application/x-stata)

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