Dong and Lewbel have developed the theory of simple estimators for binary choice models with endogenous or mismeasured regressors, depending on a “special regressor” as defined by Lewbel (Journal of Econometrics, 2000). These estimators can be used with limited, censored, continuous, or...

The avar routine (Baum and Schaffer, SSC) constructs the "filling" for a number of flavors of "sandwich" covariance matrix estimators, including HAC, one- and two-way clustering, common cross-panel autocorrelated errors, etc. We show how avar can be used as a building block to construct VCEs...

Stata's matrix language, Mata, highlighted in Bill Gould's Mata Matters columns in the Stata Journal, is very useful and powerful in its interactive mode. Stata users who write do-files or ado-files should gain an understanding of the Stata-Mata interface: how Mata may be called upon to do one...

Stata’s matrix language, Mata, highlighted in Bill Gould’s Mata Matters columns in the Stata Journal, is very useful and powerful in its interactive mode. Stata users who write do-files or ado-files should gain an understanding of the Stata–Mata interface: how Mata may be called upon to do...

We discuss how econometric estimators may be efficiently programmed in Mata. The prevalence of matrix-based analytical derivations of estimation techniques and the computational improvements available from just-in-time compilation combine to make Mata the tool of choice for econometric...

In this talk I describe three modes of Stata programming: authoring do-files, ado-files and Mata subroutines for ado-file programming. I discuss the advantages of developing skills in Stata programming that will help you become more efficient in your use of Stata and produce fully reproducible...

Elliott and Jansson developed a powerful test for unit roots, published in Journal of Econometrics (2003), extending the Elliott-Rothenberg-Stock test (dfgls) by adding stationary covariates. I will discuss and demonstrate a Stata implementation of the test. Elliott and Müller's Review of...

The talk will present the instrumental variables (IV) regression estimator, a key tool for the estimation of relationships incorporating endogeneity/two-way causality or measurement error, focusing on the Baum/Schaffer/Stillman ivreg2 package and Stata 10’s new ivregress command. The IV or...

I will discuss the usefulness of instrumental variables (IV) techniques in addressing research questions in economics and finance. IV methods provide workable solutions to problems of endogeneity, measurement error and proxy variables, but they are easily misused. I will present a wide array of...

We discuss how econometric estimators may be efficiently programmed in Mata. The prevalence of matrix-based analytical derivations of estimation techniques and the computational improvements available from just-in-time compilation combine to make Mata the tool of choice for econometric...