Description
xtivdfreg: Instrumental variable estimation of large-T panel data models with common factors
xtivdfreg implements the two-stage instrumental variables estimator for large-T panel data models, as developed by Norkute, Sarafidis, Yamagata, and Cui (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.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
→ net install xtivdfreg, from(http://www.kripfganz.de/stata/)
or (less frequently updated):
→ ssc install xtivdfreg
To display the currently installed version of this package, type the following in Stata's command window:
→ which xtivdfreg
To update an existing version of this package, type the following in Stata's command window:
→ adoupdate xtivdfreg, update
To access the help files of this package after the installation, type the following in Stata's command window:
→ help xtivdfreg
→ help xtivdfreg postestimation
Accompanying Article
