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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