扩展工具变量多重高维固定效应面板回归命令

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    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
ivreghdfe-master.zip (63.01 KB)

2019-7-30 00:13:38 上传

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