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MUNDLAK: Stata module to estimate random-effects regressions adding group-means of independent variables to the model

Author

Listed:
  • Francisco (Paco) Perales

    (University of Queensland)

Programming Language

Stata

Abstract

The command mundlak estimates random-effects regression models (xtreg, re) adding group-means of variables in indepvars which vary within groups. This technique was proposed by Mundlak (1978) as a way to relax the assumption in the random-effects estimator that the observed variables are uncorrelated with the unobserved variables. Additionally, the degree of statistical significance of the estimated coefficients on the group means can be used to test whether such assumption holds for individual regressors. See also Chapter 10 in Wooldridge (2010) and Chapter 11 in Greene (2011).

Suggested Citation

  • Francisco (Paco) Perales, 2013. "MUNDLAK: Stata module to estimate random-effects regressions adding group-means of independent variables to the model," Statistical Software Components S457601, Boston College Department of Economics, revised 08 May 2013.
    • Handle: RePEc:boc:bocode:s457601
    Note: This module should be installed from within Stata by typing "ssc install mundlak". 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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/m/mundlak.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mundlak.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mundlak.do
    File Function: sample do file
    Download Restriction: no
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