*! version 1.0.0 07jul2018

Title

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