EconPapers    
Economics at your fingertips  
 

XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models

Sebastian Kripfganz and Vasilis Sarafidis ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtivdfreg implements the two-stage instrumental variables estimator for large-T panel data models, as developed by Norkute, Sarafidis, Yamagata, and Cui (J. Econometrics, 2021). The instruments are defactored to control for a multifactor error structure. Heterogeneous slope coefficients can be allowed using a mean-group estimator. The command accommodates unbalanced panel data and permits highly flexible instrumentation strategies.

Language: Stata
Requires: Stata version 13 and reghdfe, ftools from SSC (q.v.)
Keywords: IV; panel data; mean-group estimator (search for similar items in EconPapers)
Date: 2021-02-24
Note: This module should be installed from within Stata by typing "ssc install xtivdfreg". 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: Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtivdfreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtivdfreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_postestimation.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lxtivdfreg.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_example.dta sample data file (application/x-stata)

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:s458915

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 ().

 
Page updated 2022-10-01
Handle: RePEc:boc:bocode:s458915