Software

STATA Modules

• XTIVDFREG: Stata module to perform defactored instrumental variable estimation of large panel data models, with Sebastian Kripfganz, 2021.

YouTube demonstration of the STATA package xtivdfreg. Part 1 provides a brief introduction to the methodology. Part 2 illustrates the command in STATA. A README file can be found here. Slides.

• SPXTIVDFREG: This is a wrapper of the XTIVDFREG command and alllows fitting spatial panel data models with spatial lags of the dependent and independent variables, with Sebastian Kripfganz, 2023.

• XTGRANGER: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data, with Jiaqi Xiao, Yiannis Karavias and Arturas Juodis. Statistical Software Components S458934, Boston College Department of Economics, 2021.

• XTREGCLUSTER: Stata module to estimate partially heterogeneous linear panel data models with fixed effects, with Demetris Christodoulou, Statistical Software Components S458274, Boston College Department of Economics, 2016.

• XTCSD: Stata module to test for cross-sectional dependence in panel data models, with Rafael De Hoyos, Statistical Software Components S456736, Boston College Department of Economics, 2006.