Sebastian Kripfganz

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

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© Sebastian Kripfganz
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Research
Stata Programs
Description
xtivdfreg: Instrumental variable estimation of large panel data models with common factors
xtivdfreg implements the instrumental variables estimator for large panel data models, as developed by Norkute, Sarafidis, Yamagata, and Cui (2020). 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.
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/)
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 (2020). Instrumental variable estimation of large panel data models with common factors. Working Paper, University of Exeter and Monash University.
Authors
Sebastian Kripfganz
University of Exeter
Vasilis Sarafidis
Monash University;
BI Norwegian Business School
Latest Version
version 1.0.1 10oct2020
Questions & Answers
Discussion at Statalist

www.kripfganz.de