drorsh/iols_delta

The repository displays all programs to estimate iOLS, i2SLS, as well as their associated tests.

iOLS_delta : This repository includes all available STATA programs of iterated Ordinary Least Squares

This repository includes code for iOLS_delta, i2SLS_delta, iOLS_MP as well as iOLS_HDFE and i2SLS_HDFE which allows for high-dimensional fixed effects, as described in Bellego, Benatia and Pape (2021). These programs rely on other programs : you will need to have them installed.

ssc install hdfe

ssc install reghdfe

ssc install moremata

ssc install ivreg2

ssc install ftools

ssc install ppml

ssc install ppmlhdfe

ssc install ranktest

To install this code into Stata, run the following (requires at least Stata 14) :

cap ado uninstall iOLS_delta

net install iOLS_delta, from("https://raw.githubusercontent.com/ldpape/iOLS_delta/master/")

This installation provides the following estimation programs : iOLS_delta, iOLS_delta_HDFE (iOLS_delta with many fixed effects) , iOLS_MP (Multiplicative Poisson estimated by iOLS), as well as i2SLS_delta, i2SLS_delta_HDFE (i2SLS_delta with many fixed effects), i2SLS_MP (Multiplicative Poisson estimated by iOLS).

These estimation programs are complemented by testing programs : iOLS_delta_test, iOLS_delta_HDFE_test, iOLS_MP_test, i2SLS_delta_test, i2SLS_delta_HDFE_test, i2SLS_MP_test, as well as ppml_test, ppmlhdfe_test, popular_fix_test, and popular_fix_iv_test.

Please feel free to contact me to report a bug or ask a question.

Note, this code is provided as is and may include potential errors. It has been tested for Stata version 16 but has also worked on Stata 14.