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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

Listed:
  • Mark E Schaffer

    (Heriot-Watt University)

Programming Language

Stata

Abstract

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: 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.

Suggested Citation

  • Mark E Schaffer, 2005. "XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models," Statistical Software Components S456501, Boston College Department of Economics, revised 26 Jun 2020.
  • Handle: RePEc:boc:bocode:s456501
    Note: This module should be installed from within Stata by typing "ssc install xtivreg2". 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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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2.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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    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_xtivreg2.do
    File Function: certification script
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    Citations

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    Cited by:

    1. Mikael Carlsson & Oskar Nordstrom Skans, 2012. "Evaluating Microfoundations for Aggregate Price Rigidities: Evidence from Matched Firm-Level Data on Product Prices and Unit Labor Cost," American Economic Review, American Economic Association, vol. 102(4), pages 1571-1595, June.
    2. Rainer Schweickert & Inna Melnykovska & Ansgar Belke & Ingo Bordon, 2011. "Prospective NATO or EU membership and institutional change in transition countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 19(4), pages 667-692, October.
    3. Bernard Fingleton & Simonetta Longhi, 2013. "The Effects Of Agglomeration On Wages: Evidence From The Micro-Level," Journal of Regional Science, Wiley Blackwell, vol. 53(3), pages 443-463, August.
    4. Simon Loretz & Padraig Moore, 2013. "Corporate tax competition between firms," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 20(5), pages 725-752, October.
    5. Massimiliano Calì & Carlo Menon, 2013. "Does Urbanization Affect Rural Poverty? Evidence from Indian Districts," The World Bank Economic Review, World Bank Group, vol. 27(2), pages 171-201.
    6. Horst Rottmann & Timo Wollmershäuser, 2013. "A micro data approach to the identification of credit crunches," Applied Economics, Taylor & Francis Journals, vol. 45(17), pages 2423-2441, June.
    7. Inmaculada Martínez-Zarzoso, 2009. "A General Framework for Estimating CO2 Emissions," Ibero America Institute for Econ. Research (IAI) Discussion Papers 180, Ibero-America Institute for Economic Research.
    8. Ana Poças & Elias Soukiazis, 2010. "Health Status Determinants in the OECD Countries. A Panel Data Approach with Endogenous Regressors," GEMF Working Papers 2010-04, GEMF, Faculty of Economics, University of Coimbra.
    9. Sun, Sizhong, 2009. "The role of foreign firms in domestic exporting," MPRA Paper 18486, University Library of Munich, Germany.
    10. Jon Bakija & Bradley Heim, 2008. "How Does Charitable Giving Respond to Incentives and Income? Dynamic Panel Estimates Accounting for Predictable Changes in Taxation," NBER Working Papers 14237, National Bureau of Economic Research, Inc.
    11. James Andreoni & Abigail Payne, 2007. "Crowding out Both Sides of the Philanthropy Market: Evidence from a Panel of Charities," Levine's Bibliography 122247000000001769, UCLA Department of Economics.
    12. Fleisher, Belton & Li, Haizheng & Zhao, Min Qiang, 2010. "Human capital, economic growth, and regional inequality in China," Journal of Development Economics, Elsevier, vol. 92(2), pages 215-231, July.
    13. Miguel Gómez-Antonio & Bernard Fingleton, 2012. "Regional productivity variation and the impact of public capital stock: an analysis with spatial interaction, with reference to Spain," Applied Economics, Taylor & Francis Journals, vol. 44(28), pages 3665-3677, October.
    14. Bakija, Jon & Heim, Bradley T., 2011. "How Does Charitable Giving Respond to Incentives and Income? New Estimates From Panel Data," National Tax Journal, National Tax Association;National Tax Journal, vol. 64(2), pages 615-650, June.
    15. Leger, Andreanne, 2006. "Intellectual Property Rights and Innovation in Developing Countries: Evidence from Panel Data," 2006 Annual meeting, July 23-26, Long Beach, CA 21407, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    16. Melayne Morgan McInnes & Orgul Demet Ozturk & Suzanne McDermott & Joshua R. Mann, 2010. "Does supported employment work?," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 29(3), pages 506-525.
    17. Tooraj Jamasb & Magnus Söderberg, 2010. "The Effects of Average Norm Model Regulation: The Case of Electricity Distribution in Sweden," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 36(3), pages 249-269, May.
    18. Denis Cogneau & Remi Jedwab, 2008. "Family Income and Child Outcomes:The 1990 Cocoa Price Shock in Cote d'Ivoire," CEDI Discussion Paper Series 08-13, Centre for Economic Development and Institutions(CEDI), Brunel University.
    19. Masami Imai, 2008. "Crowding-Out Effects of a Government-Owned Depository Institution: Evidence from a Natural Experiment in Japan," Wesleyan Economics Working Papers 2008-003, Wesleyan University, Department of Economics.
    20. Kovandzic, Tomislav & Schaffer, Mark E & Kleck, Gary, 2008. "Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach," IZA Discussion Papers 3589, Institute of Labor Economics (IZA).
    21. Aichele, Rahel & Felbermayr, Gabriel, 2012. "Kyoto and the carbon footprint of nations," Journal of Environmental Economics and Management, Elsevier, vol. 63(3), pages 336-354.
    22. Granlund, David & Köksal, Miyase Yesim, 2011. "Parallel Imports and Mandatory Substitution Reform - A Kick or A Muff for Price Competition in Pharmaceuticals?," HUI Working Papers 49, HUI Research.
    23. Granlund, David & Yesim Köksal, Miyase, 2011. "EU Enlargement, Parallel Trade and Price Competition in Pharmaceuticals - What’s to Blame? Derogation or Perception?," Umeå Economic Studies 831, Umeå University, Department of Economics.
    24. Gu, Weishi & Awokuse, Titus O. & Yuan, Yan, 2008. "The Contribution of Foreign Direct Investment to China's Export Performance: Evidence from Disaggregated Sectors," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6453, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    25. Courtemanche, Charles & Carden, Art, 2009. "The skinny on big box retailing: Wal-Mart, warehouse clubs, and obesity," MPRA Paper 25326, University Library of Munich, Germany.

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