*! version 1.1.1

Title

xtregtwo -- Executes estimation of panel regression with standard errors robust to two-way clustering and serial correlation in time effects.

Syntax

xtregtwo
depvar
[indepvars]
[if] [in]
[, noconstant fe]

Description

xtregtwo executes estimation of linear panel regression models with standard errors robust to two-way clustering and untruncated serial correlation in common time effects.
The method is based on Chiang, Hansen, and Sasaki (2022).
The command reports the ordinary least squares estimates, robust standard errors, z values, p values, and confidence intervals.
The command runs the fixed-effect estimation by within-transformation if the fe option is used.

Options

noconstant suppress constant term

fe fixed effects by within-transformation

Example

Load the asset pricing data:

. use "fama_french.dta"

Set i and t variables in the panel:

. xtset i t

Estimation:

. xtregtwo return mkt smb hml, fe

Stored results

xtregtwo stores the following in e():

Scalars

e(NT) observations

e(N) cross sectional units

e(T) time periods

e(M) time window for HAC estimation

Macros

e(cmd) xtregtwo

e(properties) b V

Matrices

e(b) coefficient vector

e(V) variance-covariance matrix of the estimators

Functions

e(sample) marks estimation sample

Reference

Chiang, H.D., B.E. Hansen, and Y. Sasaki 2022. Standard Errors for Two-Way Clustering with Serially Correlated Time Effects. Working Paper.
Link to Paper.

Authors

Harold D. Chiang, University of Wisconsin, Madison, WI.

Bruce E. Hansen, University of Wisconsin, Madison, WI.

Yuya Sasaki, Vanderbilt University, Nashville, TN.