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XTEWREG: Stata module to estimate errors-in-variable model with mismeasured regressors

Author

Listed:
  • Timothy Erickson

    (US Bureau of Labor Statistics)

  • Robert Parham

    (University of Rochester)

  • Toni Whited

    (University of Michigan-Ann Arbor)

Programming Language

Stata

Abstract

xtewreg runs an errors-in-variables regression, with arbitrarily many mismeasured and perfectly measured regressors. It uses either the higher-order cumulant estimators from Erickson, Jiang, and Whited (2014, Journal of Econometrics) or the High-Order-Moments method of Erickson and Whited (2000, Journal of Political Economy), also described in Erickson & Whited (2002, Econometric Theory).

Suggested Citation

  • Timothy Erickson & Robert Parham & Toni Whited, 2012. "XTEWREG: Stata module to estimate errors-in-variable model with mismeasured regressors," Statistical Software Components S457525, Boston College Department of Economics, revised 02 Sep 2016.
    • Handle: RePEc:boc:bocode:s457525
    Note: This module should be installed from within Stata by typing "ssc install xtewreg". 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. An earlirr version of this routine was circulated as package ewreg.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtewreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtewreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtewreg_example.do
    File Function: sample file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/EPW.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/EW2011RFS.dta
    File Function: sample data file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Delong Li & Nicolas E. Magud & Fabian Valencia, 2020. "Financial Shocks and Corporate Investment in Emerging Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 613-644, March.

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