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XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models


Author Info

  • Mark E Schaffer

    (Heriot-Watt University)


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 2.1.22 or above of ivreg2/ivreg29/ivreg28 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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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456501.

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Programming language: Stata
Requires: Stata version 8.2 and ((ivreg2 | ivreg29) + ranktest) or ivreg28 from SSC
Date of creation: 01 Nov 2005
Date of revision: 24 Jul 2012
Handle: RePEc:boc:bocode:s456501

Note: This module should 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
Web page:
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Related research

Keywords: instrumental variables; panel data; fixed effects; first differences; Sargan test; robust estimation; orthogonality; GMM; Hansen's J; heteroskedastic OLS; HAC; bandwidth; k-class estimator; LIML;


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