ESTETA: Stata module to estimate long-run effects using historical instruments

Statistical Software Components from Boston College Department of Economics

Abstract: esteta estimates the long-run effect of an endogenous contemporary factor instrumented by a historical instrument (Casey and Klemp, J. Development Econ., 2021). The estimator requires two variables representing the endogenous factor measured at two different points in time. It uses these two variables to estimate and adjust for the persistency of the endogenous contemporary factor in the estimation of the long-run effect. y is the dependent variable. x2 is a variable measuring the endogenous contemporary factor at some time period. x1 is a variable measuring the endogenous contemporary factor at some earlier time period. The required settings (see below) specifies the time periods for these variables as well as for the dependent variable and the time period of impact of the historical instrument.

Language: Stata
Requires: Stata version 10 and ivreg2, ranktest from SSC (q.v.)
Keywords: endogeneity; long-run analysis (search for similar items in EconPapers)
Date: 2022-01-06
Note: This module should be installed from within Stata by typing "ssc install esteta". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/e/esteta.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/esteta.ado program code (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459035

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