IVREG2HDFE: Stata module to estimate an Instrumental Variable Linear Regression Model with two High Dimensional Fixed Effects

Dany Bahar

Statistical Software Components from Boston College Department of Economics

Abstract: This command builds on the command reg2hdfe and ivreg2 for estimation of a linear instrumental variables regression model with two high dimensional fixed effects. The command is particulary useful when an instrumental variable approach is required in particularly large datasets, because it removes the high dimensional fixed effects from the data in the first step. Then it runs the IV model with the transformed variables after the proper demeaning.

Language: Stata
Requires: Stata version 10, ivreg2 and reg2hdfe from SSC (q.v.)
Keywords: instrumental variables; fixed effects (search for similar items in EconPapers)
Date: 2014-05-18, Revised 2014-07-29
Note: This module should be installed from within Stata by typing "ssc install ivreg2hdfe". 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.
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/i/ivreg2hdfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivreg2hdfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivreg2hdfe_test.do sample run (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457841

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().