XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models
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.
|Requires:||Stata version 8.2 and ivreg2, ranktest from SSC|
|Date of creation:||01 Nov 2005|
|Date of revision:||22 Feb 2015|
|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|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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