XTGMMFA: Stata module to perform GMM estimation for fixed-T factor-augmented panel data model

Manh Hoang Ba ()
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Manh Hoang Ba: Eureka Uni Team, Vietnam

Statistical Software Components from Boston College Department of Economics

Abstract: xtgmmfa performs GMM estimation for fixed-T panel data model with multifactor structural errors and the presence of endogenous variables. The underlying methodology involves approximating the unobserved common factors using observed factor proxies. The resulting moment conditions are linear in the parameters. See Joudis and Sarafidis (JBES, 2022) for more details.

Language: Stata
Requires: Stata version 11
Keywords: GMM; panel data; endogeneity (search for similar items in EconPapers)
Date: 2026-01-07
Note: This module should be installed from within Stata by typing "ssc install xtgmmfa". 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/xtgmmfa.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgmmfa.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/j/js22data.dta sample data file (application/x-stata)

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