YouTube demonstration on how to test for the rank condition required for the CCE estimator in panel data models. In Part 1, I provide a brief introduction to the methodology. In Part 2 I provide an illustration in STATA using the XTDCCE2 command developed by Jan Ditzen.Â
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.