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. spxtivdfreg implements an extended version of the estimator for spatial panel data models. The calculation of direct, indirect, and total impacts is implemented as a postestimation feature.

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, Revised 2024-02-06
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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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/s/spxtivdfreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_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)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_example.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_example_spmat.stswm sample weighting matrix (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_example_spmat.csv sample data file (text/plain)

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