Using information from singletons in fixed-effects estimation: xtfesing-Reference-Cited by-同舟云学术

Using information from singletons in fixed-effects estimation: xtfesing

Published:2020-12 Issue:4 Volume:20 Page:965-975
ISSN:1536-867X
Container-title:The Stata Journal: Promoting communications on statistics and Stata
language:en
Short-container-title:The Stata Journal

Author:

Magazzini Laura¹,Bruno Randolph Luca²,Stampini Marco³

Affiliation:

1. Institute of Economics, Sant’Anna School of Advanced Studies, Pisa, Italy,

2. School of Slavonic and East European Studies, University College London, London, UK, Fondazione Rodolfo DeBenedetti and Institute for the Study of Labor (IZA)

3. Social Protection and Health Division, Inter-American Development Bank, Washington, DC

Abstract

In this article, we describe the xtfesing command. The command implements a generalized method of moments estimator that allows exploiting singleton information in fixed-effects panel-data regression as in Bruno, Magazzini, and Stampini (2020, Economics Letters 186: Article 108519).

Publisher

SAGE Publications

Subject

Mathematics (miscellaneous)

Link

http://journals.sagepub.com/doi/pdf/10.1177/1536867X20976326

Reference5 articles.

1. Bruno R. L., Magazzini L., Stampini M. 2020. Exploiting information from singletons in panel data analysis: A GMM approach. Economics Letters 186: Article 108519. https://doi.org/10.1016/j.econlet.2019.07.004.

2. Hansen L. P. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50: 1029–1054. https://doi.org/10.2307/1912775.

3. Windmeijer F. 2005. A finite sample correction for the variance of linear efficient two-step GMM estimators. Journal of Econometrics 126: 25–51. https://doi.org/10.1016/j.jeconom.2004.02.005.

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