Sebastian Kripfganz

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

Contact details   → Curriculum vitae

 
© Sebastian Kripfganz
Home Page
Research
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.
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 (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
BI Norwegian Business School
Latest Version
version 1.1.0 01sep2022
Questions & Answers
Discussion at Statalist

www.kripfganz.de