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
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.
Requires: Stata version 13 and reghdfe, ftools from SSC (q.v.)
Keywords: IV; panel data; mean-group estimator (search for similar items in EconPapers)
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.
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458915
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