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|
| d continuously updated GMM estimation (CUE); LIML and k-class
|
| d estimation; automatic output of the Hansen-Sargan or
|
| d Anderson-Rubin statistic for overidentifying restrictions; C
|
| d statistic test of exogeneity of subsets of instruments (orthog()
|
| d option); kernel-based autocorrelation-consistent (AC) and
|
| d heteroskedastic and autocorrelation-consistent (HAC) estimation,
|
| d with user-specified choice of kernel; Cragg's "heteroskedastic
|
| d OLS" (HOLS) estimator; default reporting of large-sample
|
| d statistics (z and chi-squared rather than t and F); small option
|
| d to report small-sample statistics; first-stage regression
|
| d reported with F-test of excluded instruments and R-squared with
|
| d included instruments "partialled-out"; enhanced Kleibergen-Paap
|
| d and Cragg-Donald tests for weak instruments, redundancy of
|
| d instruments, significance of endogenous regressors; two-way
|
| d clustering of standard errors; Kiefer and Driscoll-Kraay
|
| d standard errors. ivreg2 can also be used for ordinary least
|
| d squares (OLS) estimation using the same command syntax as Stata's
|
| d official regress and newey. New in this version: ivreg2 now
|
| d supports factor variables. This is version 4.1.11 of ivreg2,
|
| d updated from that published in Stata Journal, 5(4), requiring
|
| d Stata 11.2 or better. Stata 8.2/9.2/10.2 users may use this
|
| d routine, which will automatically call ivreg28, ivreg29, or
|
| d ivreg210, respectively. These versions are now included in the
|
| d ivreg2 package. Stata 7 users may use the Stata Journal version
|
| d of ivreg2, accessible via net search ivreg2.
|
| d
|
| d KW: instrumental variables
|
| d KW: Sargan test
|
| d KW: robust estimation
|
| d KW: orthogonality
|
| d KW: GMM
|
| d KW: Hansen's J
|
| d KW: heteroskedastic OLS,
|
| d
|
| d Requires: Stata version 11.2 and ranktest from SSC
|
| d
|
| d Distribution-Date: 20220510
|
| d
|
| d Author: Christopher F Baum, Boston College
|
| d Support: email baum@@bc.edu
|
| d
|
| d Author: Mark E Schaffer, Heriot-Watt University
|
| d Support: email m.e.schaffer@@hw.ac.uk
|
| d
|
| d Author: Steven Stillman, Free University of Bozen-Bolzano
|
| d Support: email Steven.Stillman@@unibz.it
|
| d
|
| f i\ivreg2.ado
|
| f i\ivreg2.sthlp
|
| f i\ivreg2_p.ado
|
| f l\livreg2.mlib
|
| f i\ivreg210.ado
|
| f i\ivreg210.sthlp
|
| f i\ivreg210_p.ado
|
| f i\ivreg29.ado
|
| f i\ivreg29.hlp
|
| f i\ivreg29_p.ado
|
| f i\ivreg29_cue.ado
|
| f i\ivreg28.ado
|
| f i\ivreg28.hlp
|
| f i\ivreg28_p.ado
|
| f i\ivreg28_cue.ado
|
| e
|
| S http://fmwww.bc.edu/repec/bocode/r
|
| N ranktest.pkg
|
| D 5 Mar 2023
|
| U 4
|
| d 'RANKTEST': module to test the rank of a matrix
|
| d
|
| d ranktest implements various tests for the rank of a matrix.
|
| d Tests of the rank of a matrix have many practical applications.
|
| d For example, in econometrics the requirement for identification
|
| d is the rank condition, which states that a particular matrix must
|
| d be of full column rank. Another example from econometrics
|
| d concerns cointegration in vector autoregressive (VAR) models; the
|
| d Johansen trace test is a test of a rank of a particular matrix.
|
| d The traditional test of the rank of a matrix for the standard
|
| d (stationary) case is the Anderson (1951) canonical correlations
|
| d test. If we denote one list of variables as Y and a second as Z,
|
| d and we calculate the squared canonical correlations between Y and
|
| d Z, the LM form of the Anderson test, where the null hypothesis is
|
| d that the matrix of correlations or regression parameters B
|
| d between Y and Z has rank(B)=r, is N times the sum of the r+1
|
| d largest squared canonical correlations. A large test statistic
|
| d and rejection of the null indicates that the matrix has rank at
|
| d least r+1. The Cragg-Donald (1993) statistic is a closely related
|
| d Wald test for the rank of a matrix. The standard versions of
|
| d these tests require the assumption that the covariance matrix has
|
| d a Kronecker form; when this is not so, e.g., when disturbances
|
| d are heteroskedastic or autocorrelated, the test statistics are no
|
| d longer valid. ranktest implements various generalizations of
|
| d these tests - Kleibergen-Paap, Cragg-Donald, and J-type 2-step
|
| d GMM and CUE GMM tests - to the case of a non-Kronecker covariance
|
| d matrix. The implementation in ranktest will calculate test
|
| d statistics that are robust to various forms of
|
| d heteroskedasticity, autocorrelation, and clustering.
|
| d
|
| d KW: matrix
|
| d KW: rank
|
| d KW: collinearity
|
| d KW: cointegration
|
| d
|
| d Requires: Stata version 12 (version 9.2 for ranktest9, version 11 for ranktest11)
|
| d
|
| d Distribution-Date: 20200929
|
| d
|
| d Author: Frank Kleibergen, Brown University
|
| d Support: email Frank_Kleibergen@@brown.edu
|
| d
|
| d Author: Mark E Schaffer, Heriot-Watt University
|
| d Support: email m.e.schaffer@@hw.ac.uk
|
| d
|
| d Author: Frank Windmeijer, University of Oxford
|
| d Support: email frank.windmeijer@@stats.ox.ac.uk
|
| d
|
| f r\ranktest.ado
|
| f r\ranktest9.ado
|
| f r\ranktest11.ado
|
| f r\ranktest.sthlp
|
| f r\ranktest11.sthlp
|
| f l\livreg2.mlib
|
| e
|
| S http://fmwww.bc.edu/repec/bocode/e
|
| N estout.pkg
|
| D 5 Mar 2023
|
| U 5
|
| d 'ESTOUT': module to make regression tables
|
| d
|
| d estout produces a table of regression results from one or
|
| d several models for use with spreadsheets, LaTeX, HTML, or a
|
| d word-processor table. eststo stores a quick copy of the active
|
| d estimation results for later tabulation. esttab is a wrapper for
|
| d estout. It displays a pretty looking publication-style regression
|
| d table without much typing. estadd adds additional results to the
|
| d e()-returns for one or several models previously fitted and
|
| d stored. This package subsumes the previously circulated esto,
|
| d esta, estadd, and estadd_plus. An earlier version of estout is
|
| d available as estout1.
|
| d
|
| d KW: estimates
|
| d KW: LaTeX
|
| d KW: HTML
|
| d KW: word processor
|
| d KW: output
|
| d
|
| d Requires: Stata version 8.2
|
| d
|
| d Distribution-Date: 20230212
|
| d
|
| d Author: Ben Jann, University of Bern
|
| d Support: email jann@@soz.unibe.ch
|
| d
|
| f _\_eststo.ado
|
| f _\_eststo.hlp
|
| f e\estadd.ado
|
| f e\estadd.hlp
|
| f e\estout.ado
|
| f e\estout.hlp
|
| f e\eststo.ado
|
| f e\eststo.hlp
|
| f e\estpost.ado
|
| f e\estpost.hlp
|
| f e\esttab.ado
|
| f e\esttab.hlp
|
| e
|
| S http://fmwww.bc.edu/repec/bocode/e
|
| N erepost.pkg
|
| D 5 Mar 2023
|
| U 6
|
| d 'EREPOST': module to repost the estimation results
|
| d
|
| d erepost changes the b or V matrix of the current estimation
|
| d results or changes the declared estimation sample. erepost is
|
| d similar to official ereturn repost. However, erepost is allowed
|
| d after estimation commands that do not post their results using
|
| d -ereturn post- (e.g. logit) and erepost can be used outside of
|
| d eclass programs.
|
| d
|
| d KW: estimation
|
| d KW: results
|
| d
|
| d Requires: Stata version 8.2
|
| d
|
| d Distribution-Date: 20150617
|
| d
|
| d Author: Ben Jann, University of Bern
|
| d Support: email jann@@soz.unibe.ch
|
| d
|
| f e\erepost.ado
|
| f e\erepost.hlp
|
| e
|
| S http://fmwww.bc.edu/repec/bocode/c
|
| N coefplot.pkg
|
| D 5 Mar 2023
|
| U 7
|
| d 'COEFPLOT': module to plot regression coefficients and other results
|
| d
|
| d coefplot plots results from estimation commands or Stata
|
| d matrices. Results from multiple models or matrices can be
|
| d combined in a single graph. The default behavior of coefplot is
|
| d to draw markers for coefficients and horizontal spikes for
|
| d confidence intervals. However, coefplot can also produce various
|
| d other types of graphs.
|
| d
|
| d KW: graphics
|
| d KW: coefficients
|
| d KW: estimation
|
| d
|
| d Requires: Stata version 11
|
| d
|
| d Distribution-Date: 20230225
|
| d
|
| d Author: Ben Jann, University of Bern
|
| d Support: email jann@@soz.unibe.ch
|
| d
|
| f c\coefplot.ado
|
| f c\coefplot.sthlp
|
| e
|
| S http://fmwww.bc.edu/repec/bocode/t
|
| N tmpdir.pkg
|
| D 5 Mar 2023
|
| U 8
|
| d 'TMPDIR': module to indicate the directory Stata is using for a temporary directory
|
| d
|
| d tmpdir is designed for programmers who want to know what
|
| d directory Stata writes temp files to. This can be helpful when
|
| d using the file command to write intermediary files for a
|
| d program. Since spaces in directory names can cause problems for
|
| d programs running in Windows operating system, tmpdir replaces
|
| d directory / subdirectory names that contain spaces, or optionally
|
| d any name longer than 8 characters, with the first 6 non-space
|
| d characters plus "~1" or "~2" (up to "~4"). After that it gets a
|
| d bit crazy with hexadecimal replacements. Tmpdir shells out to
|
| d DOS and finds the short directory name that DOS has come up
|
| d with, so there's no attempt to guess the short name. This makes
|
| d it possible to use this program on many different versions of
|
| d Windows and always get the short name right. Tmpdir works on
|
| d all operating systems.
|
| d
|
| d KW: tempdir
|
| d KW: directory
|
| d KW: temporary
|
| d
|
| d Requires: Stata version 8.0
|
| d
|
| d
|
| d Author: Dan Blanchette, The Carolina Population Center, UNC-CH
|
| d Support: email dan_blanchette@@unc.edu
|
| d
|
| d Distribution-Date: 20110226
|
| d
|
| f t\tmpdir.ado
|
| f t\tmpdir.hlp
|
| f s\shortdir.ado
|
| f s\shortdir.hlp
|
| f c\confirmdir.ado
|
| f c\confirmdir.hlp
|
| e
|
| S http://fmwww.bc.edu/repec/bocode/r
|
| N reg2hdfe.pkg
|
| D 5 Mar 2023
|
| U 9
|
| d 'REG2HDFE': module to estimate a Linear Regression Model with two High Dimensional Fixed Effects
|
| d
|
| d This command implements the algorithm of Guimaraes & Portugal
|
| d for estimation of a linear regression model with two high
|
| d dimensional fixed effects. The command is particularly suited for
|
| d use with large data sets because you can "store" the transformed
|
| d variables and reuse them in alternative specifications. The
|
| d command is based on the algorithm presented in Carneiro,
|
| d Guimaraes and Portugal (2009) and explained in more detail in
|
| d Guimaraes and Portugal (2009).
|
| d
|
| d KW: regression
|
| d KW: fixed effects
|
| d KW: two-way fixed effects
|
| d KW: Guimaraes & Portugal
|
| d
|
| d Requires: Stata version 9.1
|
| d
|
| d Distribution-Date: 20150328
|
| d
|
| d Author: Paulo Guimaraes, Division of Research, University of South Carolina
|
| d Support: email guimaraes@@moore.sc.edu
|
| d
|
| f r\reg2hdfe.ado
|
| f r\reg2hdfe.hlp
|
| e
|
| S https://raw.githubusercontent.com/rdpackages/rdrobust/master/stata
|
| N rdrobust.pkg
|
| D 5 Mar 2023
|
| U 10
|
| d STATA Package: RDROBUST
|
| d
|
| d Authors: Sebastian Calonico, Department of Health Policy and Management, Columbia University, sebastian.calonico@columbia.edu
|
| d Matias D. Cattaneo, Operations Research and Financial Engineering, Princeton University, cattaneo@princeton.edu
|
| d Max H. Farrell, Booth School of Business, University of Chicago, max.farrell@chicagobooth.edu
|
| d Rocio Titiunik, Department of Politics, Princeton University, titiunik@princeton.edu
|
| d
|
| d Distribution-Date: 20221028
|
| d
|
| d -----------------------
|
| d BACK COMPATIBILITY:
|
| d -----------------------
|
| f r\rdbwselect.ado
|
| f r\rdplot.ado
|
| f r\rdplot.sthlp
|
| f r\rdbwselect.sthlp
|
| f r\rdrobust.ado
|
| f r\rdrobust.sthlp
|
| f r\rdrobust_bw.mo
|
| f r\rdrobust_kweight.mo
|
| f r\rdrobust_res.mo
|
| f r\rdrobust_vce.mo
|
| f r\rdrobust_collapse.mo
|
| f r\rdrobust_median.mo
|
| f r\rdrobust_groupid.mo
|
| f r\rdbwselect_2014.ado
|
| f r\rdbwselect_2014.sthlp
|
| f r\rdbwselect_2014_kconst.ado
|
| e
|
| S https://raw.githubusercontent.com/nppackages/binsreg/master/stata
|
| N binsreg.pkg
|
| D 5 Mar 2023
|
| U 11
|
| d STATA Package: BINSREG PACKAGE
|
| d
|
| d Authors: Matias D. Cattaneo, Princeton University, cattaneo@princeton.edu
|
| d Richard K. Crump, Federal Reserve Band of New York, richard.crump@ny.frb.org
|
| d Max H. Farrell, University of Chicago, max.farrell@chicagobooth.edu
|
| d Yingjie Feng, Tsinghua University, fengyingjiepku@gmail.com
|
| d
|
| d Date: 09-OCT-2022
|
| d Distribution-Date: 20221009
|
| d
|
| f b\binsreg.ado
|
| f b\binsreg.sthlp
|
| f b\binsqreg.ado
|
| f b\binsqreg.sthlp
|
| f b\binslogit.ado
|
| f b\binslogit.sthlp
|
| f b\binsprobit.ado
|
| f b\binsprobit.sthlp
|
| f b\binsregselect.ado
|
| f b\binsregselect.sthlp
|
| f b\binstest.ado
|
| f b\binstest.sthlp
|
| f b\binspwc.ado
|
| f b\binspwc.sthlp
|
| f b\binsreg_irecode.ado
|
| f b\binsreg_pctile.ado
|
| f b\binsreg_checkdrop.mo
|
| f b\binsreg_grids.mo
|
| f b\binsreg_pred.mo
|
| f b\binsreg_pval.mo
|
| f b\binsreg_spdes.mo
|
| f b\binsreg_st_spdes.mo
|
| f b\binsreg_uniq.mo
|
| f b\binsreg_cquantile.mo
|
| f b\binsreg_stat.mo
|
| e
|
| S https://raw.githubusercontent.com/sergiocorreia/ftools/master/src
|
| N ftools.pkg
|
| D 5 Mar 2023
|
| U 12
|
| d ftools. Alternatives to common Stata commands optimized for large datasets
|
| d
|
| d Author: Sergio Correia. Board of Governors of the Federal Reserve
|
| d Support: sergio.correia@gmail.com
|
| d
|
| d ftools consists of a Mata file and several Stata commands:
|
| d
|
| d The Mata file creates identifiers (factors) from variables by using
|
| d hash functions instead of sorting the data, so it runs in time O(N)
|
| d and not in O(N log N).
|
| d
|
| d The Stata commands exploit this to avoid -sort- operations,
|
| d at the cost of being slower for small datasets (mainly because of the
|
| d cost involved in moving data from Stata to Mata).
|
| d
|
| d Implemented commands are fcollapse, fegen group, and fsort.
|
| d Note that most of the capabilities of -levels- and -contract-
|
| d are already supported by these commands.
|
| d
|
| d Possible commands include more -egen- functions and -merge- and
|
| d -reshape- alternatives.
|
| d
|
| d KW: factor variables
|
| d KW: levels
|
| d KW: mata
|
| d KW: collapse
|
| d KW: contract
|
| d KW: egen
|
| d KW: merge
|
| d KW: levelsof
|
| d KW: sort
|
| d KW: inlist
|
| d
|
| d Requires: Stata version 11.2
|
| d (Stata 12 or older also require the boottest package from ssc)
|
| d
|
| d Distribution-Date: 20220506
|
| d
|
| f f\ftools.ado
|
| f f\ftools.sthlp
|
| f f\fcollapse.ado
|
| f f\fcollapse.sthlp
|
| f f\fsort.ado
|
| f f\fsort.sthlp
|
| f f\fisid.ado
|
| f f\fisid.sthlp
|
| f f\fegen.ado
|
| f f\fegen.sthlp
|
| f f\fegen_group.ado
|
| f j\join.ado
|
| f j\join.sthlp
|
| f f\fmerge.ado
|
| f f\fmerge.sthlp
|
| f f\flevelsof.ado
|
| f f\flevelsof.sthlp
|
| f l\local_inlist.ado
|
| f l\local_inlist.sthlp
|
| f f\ftools.mata
|
| f f\ftools_type_aliases.mata
|
| f f\ftools_common.mata
|
| f f\ftools_main.mata
|
| f f\ftools_hash1.mata
|
| f f\ftools_plugin.mata
|
| f f\fcollapse_main.mata
|
| f f\fcollapse_functions.mata
|
| f m\ms_compile_mata.ado
|
| f m\ms_get_version.ado
|
| f m\ms_fvunab.ado
|
| f m\ms_parse_absvars.ado
|
| f m\ms_parse_varlist.ado
|
| f m\ms_parse_vce.ado
|
| f m\ms_expand_varlist.ado
|
| f m\ms_add_comma.ado
|
| f m\ms_fvstrip.ado
|
| f m\ms_fvstrip.sthlp
|
| f p\parallel_map.ado
|
| f p\parallel_map.sthlp
|
| f p\parallel_map_template.do.ado
|
| f f\ftab.ado
|
| e
|
| S https://raw.githubusercontent.com/sergiocorreia/reghdfe/master/src
|
| N reghdfe.pkg
|
| D 5 Mar 2023
|
| U 13
|
| d REGHDFE: Linear models with multi-way fixed effects and multi-way clustering
|
| d
|
| d Authors:
|
| d - Sergio Correia. Board of Governors of the Federal Reserve System
|
| d - Noah Constantine. Board of Governors of the Federal Reserve System
|
| d Support:
|
| d - https://github.com/sergiocorreia/reghdfe/issues
|
| d
|
| d reghdfe fits a linear or instrumental-variable/GMM regression absorbing an arbitrary number of categorical factors and factorial interactions
|
| d Optionally, it saves the estimated fixed effects.
|
| d
|
| d The estimator employed is described in Correia (2017):
|
| d http://scorreia.com/research/hdfe.pdf
|
| d
|
| d For details (user guide, help, FAQ), see the website:
|
| d http://scorreia.com/reghdfe/
|
| d
|
| d KW: fixed effects
|
| d KW: panel data
|
| d KW: hdfe
|
| d KW: areg
|
| d KW: xtreg
|
| d KW: MWFE
|
| d KW: MWC
|
| d KW: cluster
|
| d
|
| d Requires: Stata version 11.2
|
| d
|
| d Required packages:
|
| d ftools
|
| d
|
| d Distribution-Date: 20210216
|
| d
|
| f r\reghdfe.ado
|
| f r\reghdfe_estat.ado
|
| f r\reghdfe_header.ado
|
| f r\reghdfe_footnote.ado
|
| f r\reghdfe_p.ado
|
| f r\reghdfe.mata
|
| f r\reghdfe.sthlp
|
| f r\reghdfe_programming.sthlp
|
| f e\estfe.ado
|
| f r\reghdfe3.ado
|
| f r\reghdfe3.sthlp
|
| f r\reghdfe3_estat.ado
|
| f r\reghdfe3_footnote.ado
|
| f r\reghdfe3_p.ado
|
| f r\reghdfe5.ado
|
| f r\reghdfe5.mata
|
| f r\reghdfe5.sthlp
|
| f r\reghdfe5_estat.ado
|
| f r\reghdfe5_footnote.ado
|
| f r\reghdfe5_header.ado
|
| f r\reghdfe5_p.ado
|
| f r\reghdfe5_parse.ado
|
| e
|
| S https://raw.githubusercontent.com/sergiocorreia/ivreghdfe/master/src
|
| N ivreghdfe.pkg
|
| D 5 Mar 2023
|
| U 14
|
| d Instrumental Variables with High Dimensional Fixed Effects (ivreg2 with an absorb() option)
|
| d
|
| d KW: fixed effects
|
| d KW: ivreg2
|
| d KW: reghdfe
|
| d
|
| d Requires: Stata version 11.2
|
| d
|
| d Required packages:
|
| d ftools
|
| d reghdfe
|
| d ivreg2
|
| d boottest (for Stata version 12 or earlier)
|
| d
|
| d Distribution-Date: 20211214
|
| f i\ivreghdfe.ado
|
| f i\ivreghdfe.sthlp
|
| e
|
| S https://raw.githubusercontent.com/nppackages/lpdensity/master/stata
|
| N lpdensity.pkg
|
| D 5 Mar 2023
|
| U 15
|
| d STATA Package: LPDENSITY
|
| d
|
| d Authors: Matias D. Cattaneo, Department of Operations Research and Financial Engineering, Princeton University, cattaneo@princeton.edu
|
| d Michael Jansson, Department of Economics, UC-Berkeley, mjansson@econ.berkeley.edu
|
| d Xinwei Ma, Department of Economics, UCSD, x1ma@ucsd.edu
|
| d
|
| d Distribution-Date: 20230121
|
| d
|
| f l\lpbwdensity.ado
|
| f l\lpbwdensity.sthlp
|
| f l\lpdensity.ado
|
| f l\lpdensity.sthlp
|
| f l\lpdensity_bwimse.mo
|
| f l\lpdensity_bwirot.mo
|
| f l\lpdensity_bwmse.mo
|
| f l\lpdensity_bwrot.mo
|
| f l\lpdensity_cgen.mo
|
| f l\lpdensity_fn.mo
|
| f l\lpdensity_ggen.mo
|
| f l\lpdensity_normdgp.mo
|
| f l\lpdensity_optfunc.mo
|
| f l\lpdensity_quantile.mo
|
| f l\lpdensity_rep.mo
|
| f l\lpdensity_sgen.mo
|
| f l\lpdensity_tgen.mo
|
| f l\lpdensity_unique.mo
|
| f l\lpdensity_whichmin.mo
|
| e
|
| S https://raw.githubusercontent.com/rdpackages/rddensity/master/stata
|
| N rddensity.pkg
|
| D 5 Mar 2023
|
| U 16
|
| d STATA Package: RDDENSITY
|
| d
|
| d Authors: Matias D. Cattaneo, Department of Operations Research and Financial Engineering, Princeton University, cattaneo@princeton.edu
|
| d Michael Jansson, Department of Economics, UC-Berkeley, mjansson@econ.berkeley.edu
|
| d Xinwei Ma, Department of Economics, UCSD, x1ma@ucsd.edu
|
| d
|
| d Distribution-Date: 20230121
|
| d
|
| f r\rdbwdensity.ado
|
| f r\rdbwdensity.sthlp
|
| f r\rddensity.ado
|
| f r\rddensity.sthlp
|
| f r\rddensity_fv.mo
|
| f r\rddensity_h.mo
|
| f r\rddensity_quantile.mo
|
| f r\rddensity_rep.mo
|
| f r\rddensity_unique.mo
|
| e
|
|
|
