xtivreg2 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg2, which must be installed for xtivreg2 to run (version 2.1.15 or above of ivreg2 is required: ssc install ivreg2, replace). xtivreg2 supports all the estimation and reporting options of ivreg2; see help ivreg2 for full descriptions and examples. In particular, all the statistics available with ivreg2 (heteroskedastic, cluster- and autocorrelation-robust covariance matrix and standard errors, overidentification and orthogonality tests, first-stage and weak/underidentification statistics, etc.) are also supported by xtivreg2 and will be reported with any degrees-of-freedom adjustments required for a panel data estimation.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456501.
Size: Programming language: Stata Requires: Stata version 8.2 Date of creation: 01 Nov 2005 Date of revision:
04 Nov 2007 Handle: RePEc:boc:bocode:s456501
Note: This module may be installed from within Stata by typing "ssc install xtivreg2". Windows users should not attempt to download these files with a web browser. Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC