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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)

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 22 Feb 2015.
  • 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2.hlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_xtivreg2.do
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