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XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models

Author

Listed:
  • Sebastian Kripfganz

    (University of Exeter Business School)

  • Vasilis Sarafidis

    (Brunel University London)

Programming Language

Stata

Abstract

xtivdfreg implements the two-stage instrumental variables estimator for large-T panel data models, as developed by Norkute, Sarafidis, Yamagata, and Cui (J. Econometrics, 2021). The instruments are defactored to control for a multifactor error structure. Heterogeneous slope coefficients can be allowed using a mean-group estimator. The command accommodates unbalanced panel data and permits highly flexible instrumentation strategies. spxtivdfreg implements an extended version of the estimator for spatial panel data models. The calculation of direct, indirect, and total impacts is implemented as a postestimation feature.

Suggested Citation

  • Sebastian Kripfganz & Vasilis Sarafidis, 2021. "XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models," Statistical Software Components S458915, Boston College Department of Economics, revised 06 Feb 2024.
    • Handle: RePEc:boc:bocode:s458915
    Note: This module should be installed from within Stata by typing "ssc install xtivdfreg". 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

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivdfreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivdfreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtivdfreg.mlib
    File Function: Mata object library
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivdfreg_example.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_example.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_example_spmat.stswm
    File Function: sample weighting matrix
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/spxtivdfreg_example_spmat.csv
    File Function: sample data file
    Download Restriction: no
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