help for esteta

Estimation of long-run effects using historical instruments

Full syntax

esteta y x2 x1
[if exp]
instruments(varlist)
t_y(real)
t_x2(real)
t_x1(real)
t_eta(real)
[, controls(varlist)]

All varlists may contain time-series operators or factor variables; see help varlist.

esteta is compatible with Stata version 10 or later.

Note: esteta requires ivreg2 which requires ranktest.

Description

esteta estimates the long-run effect of an endogenous contemporary factor instrumented by a historical instrument. The estimator requires two variables representing the endogenous factor measured at two different points in time. It uses these two variables to estimate and adjust for the persistency of the endogenous contemporary factor in the estimation of the long-run effect. y is the dependent variable. x2 is a variable measuring the endogenous contemporary factor at some time period. x1 is a variable measuring the endogenous contemporary factor at some earlier time period. The required settings (see below) specifies the time periods for these variables as well as for the dependent variable and the time period of impact of the historical instrument.

required settings

instruments(varlist) List of excluded historical instruments.

t_y(varlist) Time period (e.g., calendar year) of the dependent variable, y.

t_x2(varlist) Time period (e.g., calendar year) of the later measure of the endogenous contemporary factor, x2.

t_x1(varlist) Time period (e.g., calendar year) of the earlier measure of the endogenous contemporary factor, x1.

t_eta(varlist) Time period (e.g., calendar year) of the impact of the historical instrument.

options

controls(varlist) List of control variables

Examples

Estimate the long-run effect of institutions, as instrumented by settler mortality (with assumed impact on institutions in year 1800), on GDP in year 2022, using measurements of institutions in year 1960 and 1900.

. esteta gdp_year_2022 institutions_1960 institutions_1900, t_y(2022) t_x2(1960) t_x1(1900) t_eta(1800) instruments(settler_mortality) controls(absolute_latitude)

Reference

Casey, Gregory and Marc Klemp. "Historical instruments and contemporary endogenous regressors." Journal of Development Economics, volume 149, 2021, 102586. https://doi.org/10.1016/j.jdeveco.2020.102586. (https://www.sciencedirect.com/science/article/pii/S0304387820301619.)

Citation of esteta

Please cite esteta using the above reference.

Authors

Gregory Casey
Williams College, USA
gregory.p.casey@williams.edu

Marc Klemp (corresponding author)
University of Copenhagen, Denmark
marc.klemp@econ.ku.dk