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XTEWREG: Stata module to estimate errors-in-variable model with mismeasured regressors

Listed author(s):
  • Timothy Erickson


    (US Bureau of Labor Statistics)

  • Robert Parham


    (University of Rochester)

  • Toni Whited


    (University of Michigan-Ann Arbor)

xtewreg runs an errors-in-variables regression, with arbitrarily many mismeasured and perfectly measured regressors. It uses either the higher-order cumulant estimators from Erickson, Jiang, and Whited (2014, Journal of Econometrics) or the High-Order-Moments method of Erickson and Whited (2000, Journal of Political Economy), also described in Erickson & Whited (2002, Econometric Theory).

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457525.

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Programming language: Stata
Requires: Stata version 12
Date of creation: 27 Sep 2012
Date of revision: 02 Sep 2016
Handle: RePEc:boc:bocode:s457525
Note: This module should be installed from within Stata by typing "ssc install xtewreg". Windows users should not attempt to download these files with a web browser. An earlirr version of this routine was circulated as package ewreg.
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