[Sebastian Kripfganz]

An important update is available for the xtivdfreg package. For the absorption of fixed effects, the command relies on Sergio Correia's reghdfe and ftools packages. The latest version of reghdfe introduced some code-breaking syntax changes. To reestablish compatibility between xtivdfreg and reghdfe, please update to the latest xtivdfreg version 1.3.5 from my personal website, and make sure that you have the latest versions of reghdfe (6.12.3) and ftools (2.49.1) from SSC.

net install xtivdfreg, from(http://www.kripfganz.de/stata/) replace

ssc install reghdfe
ssc install ftools

Warning: If some of your own programs or do-files use reghdfe, the new version might also break your code. You might want to keep a backup of your current reghdfe version before updating.

[Sebastian Kripfganz]

The latest version 1.4.2 of the xtivdfreg package comes with some smaller bug fixes and new functionality for mean-group (MG) estimation. Previously, the mg option would only return the final MG estimates. Now, the group-specific estimates and standard errors can also be accessed through the returned matrices e(b_mg) and e(se_mg), respectively. Moreover, the estimates for a specific group can be directly displayed in standard regression output format by specifying the group's ID number as an argument to the mg() option. Please see the help file for details.

In relation to MG estimation, another technical modification has been made: The latest version now requests either the absorb() option (with specification of the panel identifier variable) or the noconstant option for the MG estimation. Previously, without either of these options, the heterogeneous slope coefficients were estimated under the implicit assumption of homogeneous intercepts, but the MG intercept was subsequently still computed from heterogeneous intercept estimates. To avoid this inconsistency, the user now needs to take an explicit stance on whether there are heterogeneous intercepts (by using the absorb() option) or not (by using the noconstant option). This is only relevant for MG estimation.

The latest version can be obtained in the usual way either from SSC or from my personal website.

[Sebastian Kripfganz]

I am excited to announce that my co-author Vasilis Sarafidis has recorded 2 YouTube videos on the IV method for estimating panel data models with common factors and the implementation with our xtivdfreg package.

Check them out: https://www.youtube.com/playlist?lis...LYo47_qkDedqqS