Title: XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models
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.
Publication Year: 2021
Publication Date: 2021-01-01
Language: en
Type: article
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Cited By Count: 1
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