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ESTETA: Stata module to estimate long-run effects using historical instruments

Author

Listed:
  • Gregory Casey

    (Williams College)

  • Marc Klemp

    (University of Copenhagen, Denmark)

Programming Language

Stata

Abstract

esteta estimates the long-run effect of an endogenous contemporary factor instrumented by a historical instrument (Casey and Klemp, J. Development Econ., 2021). The estimator requires two variables representing the endogenous factor measured at two different points in time. It uses these two variables to estimate and adjust for the persistency of the endogenous contemporary factor in the estimation of the long-run effect. y is the dependent variable. x2 is a variable measuring the endogenous contemporary factor at some time period. x1 is a variable measuring the endogenous contemporary factor at some earlier time period. The required settings (see below) specifies the time periods for these variables as well as for the dependent variable and the time period of impact of the historical instrument.

Suggested Citation

  • Gregory Casey & Marc Klemp, 2022. "ESTETA: Stata module to estimate long-run effects using historical instruments," Statistical Software Components S459035, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459035
    Note: This module should be installed from within Stata by typing "ssc install esteta". 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/e/esteta.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/esteta.ado
    File Function: program code
    Download Restriction: no
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