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st: New on ssc-ideas - xtivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: New on ssc-ideas - xtivreg2
Date   Wed, 02 Nov 2005 13:13:33 -0000

Thanks to Kit Baum, a new program, -xtivreg2-, is available on ssc-
ideas.

-xtivreg2- implements IV/GMM estimation of the fixed-effects and 
first-differences panel data models with possibly endogenous 
regressors.  It is essentially a wrapper for -ivreg2- by Baum-
Schaffer-Stillman, which must be installed for -xtivreg2- to run 
(version 2.1.11 or above of -ivreg2- is required: -ssc install 
ivreg2, replace-).  -xtivreg2- supports all the estimation and 
reporting options of -ivreg2-; see help -ivreg2- for full 
descriptions and examples.

All the statistics available with -ivreg2- (heteroskedastic, cluster- 
and autocorrelation-robust covariance matrix and standard errors, 
overidentification and orthogonality tests, first-stage and 
weak/underidentification statistics, etc.) are supported by
-xtivreg2- and will be reported with any degrees-of-freedom 
adjustments required for a panel data estimation.  

Version 8.2 of Stata is required.

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-4202 CERT administrator
http://www.sml.hw.ac.uk/cert

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