English, Article edition: XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models Mark E Schaffer

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Bookmark: http://trove.nla.gov.au/version/174587
Physical Description
  • code
Language
  • English

Edition details

Title
  • XTIVREG2: Stata module to perform extended IV/​2SLS, GMM and AC/​HAC, LIML and k-class regression for panel data models
Author
  • Mark E Schaffer
Physical Description
  • code
Notes
  • xtivreg2 implements IV/​GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg2, which must be installed for xtivreg2 to run (version 2.1.15 or above of ivreg2 is required: ssc install ivreg2, replace). xtivreg2 supports all the estimation and reporting options of ivreg2; see help ivreg2 for full descriptions and examples. In particular, all the statistics available with ivreg2 (heteroskedastic, cluster- and autocorrelation-robust covariance matrix and standard errors, overidentification and orthogonality tests, first-stage and weak/​underidentification statistics, etc.) are also supported by xtivreg2 and will be reported with any degrees-of-freedom adjustments required for a panel data estimation.
  • instrumental variables, panel data, fixed effects, first differences, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML
  • RePEc:boc:bocode:s456501
Language
  • English
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