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XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8)

31 Mar 2012-Research Papers in Economics (Boston College Department of Economics)-
TL;DR: xtivreg2 as mentioned in this paper is a wrapper for ivreg28, which can be installed on Stata versions 9+ and can be used to estimate fixed-effects and first-difference panel data models with possibly endogenous regressors.
Abstract: xtivreg28 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially a wrapper for ivreg28, which must be installed for xtivreg28 to run. Users of Stata versions 9+ should use xtivreg2. xtivreg28 supports all the estimation and reporting options of ivreg28; see help ivreg28 for full descriptions and examples. In particular, all the statistics available with ivreg28 (heteroskedastic, cluster- and autocorrelation-robust covariance matrix and standard errors, overidentification and orthogonality tests, first-stage and weak/underidentification statistics, etc.) are also supported by xtivreg2 and will be reported with any degrees-of-freedom adjustments required for a panel data estimation.
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Journal ArticleDOI
TL;DR: This paper found that increases in the supply of venture capital positively affect firm starts, employment, and aggregate income in U.S. metropolitan areas, which appears consistent with two mechanisms: would-be entrepreneurs anticipating financing needs more likely start firms and funded companies may transfer know-how to their employees, thereby enabling spin-offs and may encourage others to become entrepreneurs through demonstration effects.
Abstract: Using a panel of U.S. metropolitan areas, we find that increases in the supply of venture capital positively affect firm starts, employment, and aggregate income. Our results remain robust to a variety of specifications, including ones that address endogeneity. The estimated magnitudes imply that venture capital stimulates the creation of more firms than it funds, which appears consistent with two mechanisms: First, would-be entrepreneurs anticipating financing needs more likely start firms when the supply of capital expands. Second, funded companies may transfer know-how to their employees, thereby enabling spin-offs, and may encourage others to become entrepreneurs through demonstration effects.

459 citations

Journal ArticleDOI
TL;DR: The wild bootstrap was originally developed for regression models with heteroskedasticity of unknown form and has been extended to models estimated by instrumental variables over the past 30 years as discussed by the authors.
Abstract: The wild bootstrap was originally developed for regression models with heteroskedasticity of unknown form. Over the past 30 years, it has been extended to models estimated by instrumental variables...

436 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigate the relation between the CEO Pay Slice (CPS) and the value, performance, and behavior of public firms and find that, controlling for all standard controls, CPS is negatively associated with firm value as measured by industry-adjusted Tobin's q.
Abstract: We investigate the relation between the CEO Pay Slice (CPS)—the fraction of the aggregate compensation of the top-five executive team captured by the Chief Executive Officer—and the value, performance, and behavior of public firms. The CPS could reflect the relative importance of the CEO as well as the extent to which the CEO is able to extracts rents. We find that, controlling for all standard controls, CPS is negatively associated with firm value as measured by industry-adjusted Tobin’s q. CPS also has a rich set of relations with firms’ behavior and performance. In particular, CPS is correlated with lower (industry-adjusted) accounting profitability, lower stock returns accompanying acquisitions announced by the firm and higher likelihood of a negative stock return accompanying such announcements, higher odds of the CEO receiving a lucky option grant at the lowest price of the month, lower performance sensitivity of CEO turnover, and lower stock market returns accompanying the filing of proxy statements for periods when CPS increases. Taken together, our results are consistent with the hypothesis that higher CPS is associated with agency problems and indicate that CPS can provide a useful tool for studying the performance and behavior of firms.

356 citations

Journal ArticleDOI
TL;DR: Data from 1970 to 2012 for 116 countries is used, finding that safe water access, sanitation, women’s education, gender equality, and the quantity and quality of food available in countries have been key drivers of past reductions in stunting.

305 citations


Cites methods from "XTIVREG28: Stata module to perform ..."

  • ...Given relevant and valid instruments, the test for endogeneity we employ is implemented using the STATA command xtivreg2 developed by Schaffer (2010)....

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Journal ArticleDOI
TL;DR: In this article, the authors investigate the effects of automobile congestion on ambient air pollution and local infant mortality rates using data from California spanning 2002 to 2007, and show that particulate matter, even at modern levels, has large marginal effects on weekly infant mortality rate, especially for premature or low birthweight infants.
Abstract: We investigate the effects of automobile congestion on ambient air pollution and local infant mortality rates using data from California spanning 2002 to 2007. Constructing instrumental variables (IV) using the relationship of traffic, weather conditions, and pollutants, we show that particulate matter, even at modern levels, has large marginal effects on weekly infant mortality rates, especially for premature or low birthweight infants. We also find suggestive evidence of large effects for carbon monoxide, though results are imprecise. Finally, we check estimate sensitivity to nonclassical measurement error in local pollution and show that our IV results are robust to such concerns.

262 citations

Trending Questions (1)
How to use IV techniques on Panel data in Stata?

Use the xtivreg28 module in Stata to perform IV estimation on panel data models with endogenous regressors.