[Sebastian Kripfganz]

An important update is available for the xtivdfreg package. For the absorption of fixed effects, the command relies on Sergio Correia's reghdfe and ftools packages. The latest version of reghdfe introduced some code-breaking syntax changes. To reestablish compatibility between xtivdfreg and reghdfe, please update to the latest xtivdfreg version 1.3.5 from my personal website, and make sure that you have the latest versions of reghdfe (6.12.3) and ftools (2.49.1) from SSC.

net install xtivdfreg, from(http://www.kripfganz.de/stata/) replace

ssc install reghdfe
ssc install ftools

Warning: If some of your own programs or do-files use reghdfe, the new version might also break your code. You might want to keep a backup of your current reghdfe version before updating.

[Sebastian Kripfganz]

The latest version 1.4.2 of the xtivdfreg package comes with some smaller bug fixes and new functionality for mean-group (MG) estimation. Previously, the mg option would only return the final MG estimates. Now, the group-specific estimates and standard errors can also be accessed through the returned matrices e(b_mg) and e(se_mg), respectively. Moreover, the estimates for a specific group can be directly displayed in standard regression output format by specifying the group's ID number as an argument to the mg() option. Please see the help file for details.

In relation to MG estimation, another technical modification has been made: The latest version now requests either the absorb() option (with specification of the panel identifier variable) or the noconstant option for the MG estimation. Previously, without either of these options, the heterogeneous slope coefficients were estimated under the implicit assumption of homogeneous intercepts, but the MG intercept was subsequently still computed from heterogeneous intercept estimates. To avoid this inconsistency, the user now needs to take an explicit stance on whether there are heterogeneous intercepts (by using the absorb() option) or not (by using the noconstant option). This is only relevant for MG estimation.

The latest version can be obtained in the usual way either from SSC or from my personal website.

[Sebastian Kripfganz]

I am excited to announce that my co-author Vasilis Sarafidis has recorded 2 YouTube videos on the IV method for estimating panel data models with common factors and the implementation with our xtivdfreg package.

Check them out: https://www.youtube.com/playlist?lis...LYo47_qkDedqqS

[Sebastian Kripfganz]

An update to version 1.5.0 is available on my personal website:

net install xtivdfreg, from(http://www.kripfganz.de/stata/) replace

Besides some minor bug fixes related to collinear instruments, the postestimation predict command now has 3 new options: yabsorb, xabsorb, and iv.

• yabsorb and xabsorb create new variables in the data set for the dependent and independent variables net of the absorbed fixed effects.
• iv creates new variables for the defactored instrumental variables as used in the final estimation stage.

In addition, xtivdfreg now stores the weighting matrix in e(W), and predict with option iv does the same in r(W) with updated row and column titles reflecting the names of the instruments.

Together, these new features now allow replication of the xtivdfreg results with ivreg2, and therefore provide access to additional postestimation statistics reported by the latter. Here is an example:

use http://www.kripfganz.de/stata/xtivdfreg_example.dta
xtivdfreg L(0/1).CAR size ROA liquidity, absorb(id t) iv(size ROA liquidity, lags(2)) factmax(3)
predict ya, yabsorb
predict xa*, xabsorb
predict iv*, iv
matrix W = r(W)
matrix S = invsym(W)
ivreg2 ya (xa* = iv*), nocons smatrix(S)

Note that the inverse of the weighting matrix needs to be supplied to ivreg2 with the smatrix() option. While ivreg2 also has a wmatrix() option, it apparently ignores the supplied weighting matrix unless a (cluster-)robust VCE or the 2-step GMM estimator is requested as well. (ivreg2 does not know that the supplied weighting matrix is already optimal.)

Also, it is essential to specify the nocons option with ivreg2. (The constant has already been absorbed.)

Please see the help file for further details:

help xtivdfreg postestimation