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IVREG2HDFE: Stata module to estimate an Instrumental Variable Linear Regression Model with two High Dimensional Fixed Effects

Author

Listed:
  • Dany Bahar

    (Center for International Development, Harvard University)

Programming Language

Stata

Abstract

This command builds on the command reg2hdfe and ivreg2 for estimation of a linear instrumental variables regression model with two high dimensional fixed effects. The command is particulary useful when an instrumental variable approach is required in particularly large datasets, because it removes the high dimensional fixed effects from the data in the first step. Then it runs the IV model with the transformed variables after the proper demeaning.

Suggested Citation

  • Dany Bahar, 2014. "IVREG2HDFE: Stata module to estimate an Instrumental Variable Linear Regression Model with two High Dimensional Fixed Effects," Statistical Software Components S457841, Boston College Department of Economics, revised 29 Jul 2014.
    • Handle: RePEc:boc:bocode:s457841
    Note: This module should be installed from within Stata by typing "ssc install ivreg2hdfe". 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.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2hdfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2hdfe.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2hdfe_test.do
    File Function: sample run
    Download Restriction: no
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    Citations

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    Cited by:

    1. Fontagné, Lionel & Martin, Philippe & Orefice, Gianluca, 2018. "The international elasticity puzzle is worse than you think," Journal of International Economics, Elsevier, vol. 115(C), pages 115-129.
    2. Lionel Fontagné & Philippe Martin & Gianluca Orefice, 2017. "The International Elasticity Puzzle Is Worse Than You Think," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01470696, HAL.
    3. Giorgia Giovannetti & Mauro Lanati, 2017. "Do High-Skill Immigrants trigger High-Quality Trade?," The World Economy, Wiley Blackwell, vol. 40(7), pages 1345-1380, July.

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