ivreghdfe -- Extended instrumental variable regressions with multiple
levels of fixed effects

Syntax

ivreghdfe is essentially ivreg2 with an additional absorb() option from
reghdfe. See the links above for the detailed help files of each program.

To use ivreghdfe, you must have installed three packages:ftools, reghdfe,
and ivreg2 (see the online guide).

You can also pass additional optimization options to reghdfe, as suboptions
within absorb():

sysuse auto
ivreghdfe price weight (length=gear), absorb(rep78, tol(1e-6))
ivreghdfe price weight (length=gear), absorb(rep78, accel(none))


Citation

Please cite the ivreg2 and/or reghdfe commands directly:

Baum, C.F., Schaffer, M.E., Stillman, S. 2010.ivreg2: Stata module for
extended instrumental variables/2SLS, GMM and AC/HAC, LIML and k-class
regression.http://ideas.repec.org/c/boc/bocode/s425401.html

Correia, Sergio. 2017.Linear Models with High-Dimensional Fixed Effects:
An Efficient and Feasible Estimator (Working Paper)
https://github.com/sergiocorreia/reghdfe/#citation


Feedback

For any issues or suggestions, please see the Github website, including the issue
>tracker.


ivreg2 Authors

Christopher F Baum, Boston College, USA
baum@bc.edu

Mark E Schaffer, Heriot-Watt University, UK
m.e.schaffer@hw.ac.uk

Steven Stillman, Motu Economic and Public Policy Research
stillman@motu.org.nz


reghdfe Author

Sergio Correia
Board of Governors of the Federal Reserve
Email: sergio.correia@gmail.com