XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models
XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models
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发表时间：
2012-03
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通讯作者：
M. Schaffer
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作者：
M. Schaffer
xtivreg 28实现了固定效应和一阶差分面板数据模型的IV/GMM估计，其中可能包含内生回归变量。它本质上是ivreg 28的包装器，必须安装ivreg 28才能运行。Stata版本9+的用户应该使用xtivreg 2。xtivreg 28支持ivreg 28的所有估计和报告选项;有关完整的描述和示例，请参阅帮助ivreg 28。特别是，ivreg 28提供的所有统计量（异方差、聚类和自相关稳健协方差矩阵和标准误差、过度识别和正交性检验、第一阶段和弱/欠识别统计量等）也得到xtivreg 2的支持，并将与面板数据估计所需的任何自由度调整一起报告。
xtivreg28 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg28, which must be installed for xtivreg28 to run. Users of Stata versions 9+ should use xtivreg2. xtivreg28 supports all the estimation and reporting options of ivreg28; see help ivreg28 for full descriptions and examples. In particular, all the statistics available with ivreg28 (heteroskedastic, cluster- and autocorrelation-robust covariance matrix and standard errors, overidentification and orthogonality tests, first-stage and weak/underidentification statistics, etc.) are also supported by xtivreg2 and will be reported with any degrees-of-freedom adjustments required for a panel data estimation.