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Fitting and interpreting correlated random-coefficient models using Stata

Author

Listed:
  • Oscar Barriga Cabanillas

    () (University of California Davis)

  • Jeffrey D. Michler

    () (University of Saskatchewan)

  • Aleksandr Michuda

    () (University of California Davis)

  • Emilia Tjernström

    () (University of Wisconsin)

Abstract

In this article, we introduce the community-contributed command randcoef, which fits the correlated random-effects and correlated random-coef- ficient models discussed in Suri (2011, Econometrica 79: 159–209). While this approach has been around for a decade, its use has been limited by the compu- tationally intensive nature of the estimation procedure that relies on the optimal minimum distance estimator. randcoef can accommodate up to five rounds of panel data and offers several options, including alternative weight matrices for estimation and inclusion of additional endogenous regressors. We also present postestimation analysis using sample data to facilitate understanding and inter- pretation of results.

Suggested Citation

  • Oscar Barriga Cabanillas & Jeffrey D. Michler & Aleksandr Michuda & Emilia Tjernström, 2018. "Fitting and interpreting correlated random-coefficient models using Stata," Stata Journal, StataCorp LP, vol. 18(1), pages 159-173, March.
  • Handle: RePEc:tsj:stataj:v:18:y:2018:i:1:p:159-173
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