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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 ( Windows users should not attempt to download these files with a web browser.
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