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XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8)

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Author Info

  • Mark E Schaffer

    ()
    (Heriot-Watt University)

Abstract

xtivreg28 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg28, which must be installed for xtivreg28 to run. Users of Stata versions 9+ should use xtivreg2. xtivreg28 supports all the estimation and reporting options of ivreg28; see help ivreg28 for full descriptions and examples. In particular, all the statistics available with ivreg28 (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.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg28.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg28.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2_p.ado
File Function: program code
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457436.

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Programming language: Stata
Requires: Stata version 8.2 and ivreg28 from SSC
Date of creation: 31 Mar 2012
Date of revision:
Handle: RePEc:boc:bocode:s457436

Note: This module should be installed from within Stata by typing "ssc install xtivreg28". 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

Order Information:
Web: http://repec.org/docs/ssc.php

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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