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XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8)

Author

Listed:
  • Mark E Schaffer

    (Heriot-Watt University)

Programming Language

Stata

Abstract

xtivreg28 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg28, which must be installed for xtivreg28 to run. Users of Stata versions 9+ should use xtivreg2. xtivreg28 supports all the estimation and reporting options of ivreg28; see help ivreg28 for full descriptions and examples. In particular, all the statistics available with ivreg28 (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.

Suggested Citation

  • Mark E Schaffer, 2012. "XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8)," Statistical Software Components S457436, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457436
    Note: This module should be installed from within Stata by typing "ssc install xtivreg28". 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

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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg28.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg28.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtivreg2_p.ado
    File Function: program code
    Download Restriction: no
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