Title

ivreg2hdfe - Estimates an Instrumental Variable Linear Regression Model with two High Dimensional Fixed Effects.

Syntax

        ivreg2hdfe [if], DEpvar(depvar) ENdog(varlist) iv(varlist) [EXog(varlist)] id1(varname) id2(varname) [cluster(varname)] [gmm2s]


Description

This command builds on the command reg2hdfe and ivreg2 for estimation of a linear instrumental variables regression model with two high dimensional fixed effects.  The command is particulary useful when an instrumental variable approach is required in
particularly large datasets, because it removes the high dimensional fixed effects from the data in the first step.  Then it runs the IV model with the transformed variables after the proper demeaning.

ivreg2hdfe requires reg2hdfe, ivreg2 and tmpdir; which can be installed from ssc by typing in the command prompt:
. ssc install reg2hdfe
. ssc install ivreg2
. ssc install tmpdir

Syntax

DEpvar(depvar): Dependent Variable

ENdog(varlist): List of endogenous variables (to be instrumented)

iv(varlist): List of Instrumental Variables (number of IVs should be at least the
number of endogenous variables)

id1(varname) id2(varname): Identification of the two high dimensional fixed effects variables


Options

EXog(varlist): List of other exogenous variables

cluster(varname): One-way or two-way clustered standard errors

gmm2s: Use the Generalized Methods of Moments to estimate the IV regression