双高维固定效应的工具变量线性回归模型

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Title

ivreg2hdfe - Estimates an Instrumental Variable Linear Regression Model with two High Dimensional Fixed Effects.

Syntax

        ivreg2hdfe [if], DEpvar(depvar) ENdog(varlist) iv(varlist) [EXog(varlist)] id1(varname) id2(varname) [cluster(varname)] [gmm2s]


Description

This command builds on the command reg2hdfe and ivreg2 for estimation of a linear instrumental variables regression model with two high dimensional fixed effects.  The command is particulary useful when an instrumental variable approach is required in
particularly large datasets, because it removes the high dimensional fixed effects from the data in the first step.  Then it runs the IV model with the transformed variables after the proper demeaning.

ivreg2hdfe requires reg2hdfe, ivreg2 and tmpdir; which can be installed from ssc by typing in the command prompt:
. ssc install reg2hdfe
. ssc install ivreg2
. ssc install tmpdir

Syntax

DEpvar(depvar): Dependent Variable

ENdog(varlist): List of endogenous variables (to be instrumented)

iv(varlist): List of Instrumental Variables (number of IVs should be at least the
number of endogenous variables)

id1(varname) id2(varname): Identification of the two high dimensional fixed effects variables


Options

EXog(varlist): List of other exogenous variables

cluster(varname): One-way or two-way clustered standard errors

gmm2s: Use the Generalized Methods of Moments to estimate the IV regression

ivreg2hdfe.rar (22.68 MB, 需要: 100 个论坛币)

2020-6-10 22:31:19 上传

压缩包含补充包，根据需要安装
需要: 100 个论坛币  [购买]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏3 回帖

关键词：线性回归模型 线性回归 回归模型 工具变量 固定效应

啥意思？这个也拿来挣钱？

如果没论坛币，说明登陆少。那么直接自己按展示的代码安装，网速自己优化吧

ivreg2hdfe requires reg2hdfe, ivreg2 and tmpdir; which can be installed from ssc by typing in the command prompt:
. ssc install reg2hdfe
. ssc install ivreg2
. ssc install tmpdir