Sebastian Kripfganz

Senior Lecturer (advanced assistant professor) in Econometrics,
University of Exeter Business School, Department of Economics

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Stata Programs
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. spxtivdfreg implements an extended version of the estimator for spatial panel data models. The calculation of direct, indirect, and total impacts is implemented as a postestimation feature.
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
Kripfganz, S., and V. Sarafidis (2023). Estimating spatial dynamic panel data models with unobserved common factors in Stata. Manuscript, University of Exeter and Brunel University London.
Kripfganz, S., and V. Sarafidis (2021). Instrumental-variable estimation of large-T panel-data models with common factors. Stata Journal 21 (3), 659-686.
Authors
Sebastian Kripfganz
University of Exeter
Vasilis Sarafidis
Brunel University London
Latest Version
version 1.4.2 06feb2024
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