XTREGTWO: Stata module to estimate panel regression with standard errors robust to two-way clustering and serial correlation in time effects

Harold Chiang, Bruce Hansen () and Yuya Sasaki

Statistical Software Components from Boston College Department of Economics

Abstract: xtregtwo executes estimation of linear panel regression models with standard errors robust to two-way clustering and untruncated serial correlation in common time effects. The method is based on Chiang, Hansen, and Sasaki (2022). The command reports the ordinary least squares estimates, robust standard errors, z values, p values, and confidence intervals. The command runs the fixed-effect estimation by within-transformation if the fe option is used.

Language: Stata
Requires: Stata version 14.2
Keywords: regression; fixed effects; clustering; time effects (search for similar items in EconPapers)
Date: 2022-08-08, Revised 2024-12-09
Note: This module should be installed from within Stata by typing "ssc install xtregtwo". 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/xtregtwo.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtregtwo.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fama_french.dta sample data file (application/x-stata)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459110

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