STACKREG: Stata module to perform stacked linear regression analysis to facilitate testing of multiple hypotheses

stackreg implements the stacked regression analysis which facilitates statistical testing in a multiple testing framework. The stacked regression approach was suggested e.g. by Weesie (STB, 1999) and Pei et al. (JBES, 2019). stackreg is closely realted to the Stata command suest. Unlike suest, which is extremely flexible in allowing inference involving regression models of different type, stackreg is confined to the linear model. However, in the context of the linear model, stackreg is more flexible than suest in several respects. In detail: (i) stackreg accomodates multi-way clustering (Cameron et al., JBES, 2011), if the community-distributed command cgmreg (by Jonah B. Gelbach and Douglas L. Miller) is installed; (ii) stackreg allows imposing cross-equation constraints by specifying the option constraints(); (iii) stackreg is a panel data command that accomodates fixed-effects estimation; (iv) unlike suest, stackrg applies a degrees-of-freedom adjustment that exactly reproduces the standard errors equation-by-equantion estimation yields; (v) stackreg allows for factor-variables in depvars. stackreg can also be regarded as more robust alternative to sureg and mvreg in particular. While these commands implement an FGLS estimator and, hence, rely on strong assumptions when estimating cross-equation coefficient covariances, stackreg uses clustering in the same fashion as suest. The stacked regression approach may alternatively implemented using the data management tool stack.