2019 London Stata Conference - Proceedings

London, 5 & 6 September 2019

Bland-Altman plots, rank parameters, and calibration ridit splines

Roger Newson
Department of Primary Care and Public Health, Imperial College London

Scientists frequently work with pairs of alternative variables intended to measure the same quantity. Examples include measured and predicted disease prevalences in primary-care practices, and marks awarded to student exam scripts by two different teachers. Statistical methods developed for use with such pairs of variables (A and B) may aim to measure components of disagreement between the variables (like discordance, bias and scale differential), or they may aim to estimate one variable from the other (calibration). The Bland-Altman plot is the standard way of presenting a pair of alternative measures, and allows us to visualise discordance, bias and scale differential at the same time. However, it lacks parameters with confidence limits. The SSC packages somersd, scsomersd and rcentile can be used to estimate rank parameters. They can measure discordance using Kendall's τa between A and B, bias using the mean sign and percentiles of A-B, and scale differential using Kendall's τa between A-B and A+B. For calibration (predicting A from B), we can use the SSC packages wridit and polyspline to define a ridit spline of A with respect to B. We can then plot the observed B and the predicted A (with confidence limits) against the ridit of B, to create a continuous alternative to the standard decile plot commonly used for calibration.

Download presentation

Developing a postestimation command for joint models in merlin

Nuzhat B. Ashra
Michael J. Crowther
Biostatistics Research Group, University of Leicester

Joint longitudinal-survival models are now increasingly utilised to quantify the association between a repeatedly measured biomarker and time-to-event outcome. Where singular methods ignore the dependency between the biomarker and time-to-event outcome, joint models describe the association, whilst accounting for possible measurement error and the intermittent nature of observations. Furthermore, extensions to these models can allow estimation of survival probabilities which are conditional on measurements to date and individual characteristic information. These probabilities give an up-to-date risk estimate for event occurrence tailored to the individual.

Currently, there are two commands available in Stata, which are designed to fit these models. The command stjm was first on the scene and was specifically written to fit joint models. However, as the new kid on the block, merlin brings with it greater flexibility than its predecessor. As a fairly recently established command, however, the postestimation command options are still a work in progress. The aim is to establish a command using both ado and Mata programming which will be able to produce a graphical illustration of individualised conditional survival probabilities. In this talk I will be talking about my coding journey to this end.

Download presentation

Estimating (S,s) rule regression models

David Vincent
Independent (self-employed)

There are many economic variables such as prices or wages that exhibit infrequent or lumpy adjustments. These outcomes occur when there are costs associated with making such changes, which lead agents to adopt an (S,s) decision rule. These rules are characterised by a band of inaction, where agents tolerate some deviation from an optimal frictionless outcome, provided that the deviation is within the (S,s) interval thresholds.

The purpose of this presentation is to describe a new command xtss which estimates the parameters of a simple (S,s) rule model, for panel data applications. This extends the specification developed by Dhyne el at (2011) for modelling sticky prices, by allowing the thresholds to have truncated Normal distributions and depend on regressors that vary over time and across individuals.

Download presentation

Area-of-Effect placebo tests

Reinhard A. Weisser
Nottingham Business School, Nottingham Trent University

The emergence of GIS data offers a plethora of analytical approaches to investigate societal phenomena or policies in a spatial context. However, not all policies are implemented on the level of clearly delineated administrative areas. Some interventions might be active in imprecisely specified or only partially known geographic sectors. As a direct consequence, the resulting uncertainty regarding the Area-of-Effect (AoE) impacts on estimates of the effectiveness of a related policy.

Within this research I present a new Stata tool to investigate the robustness of area-specific effectiveness estimates when the observed area might suffer from unknown degrees of misspecification across three dimensions, i.e. its position, orientation and scale. The impact of these forms of area misspecification can be assessed in the aoeplacebo programme, either by generating a number of AoE placebo test diagnostics or conducting AoE permutation simulations.

Keywords: aoeplacebo, spatial economics, placebo tests, GIS data

Project webpage: https://sites.google.com/site/weisserresearch/home/research-work/aoeplacebo

Download presentation

hdps: Implementation of high-dimensional propensity score approaches in Stata

John Tazare
Ian Douglas
Elizabeth Williamson

London School of Hygiene and Tropical Medicine

Large healthcare databases are increasingly used for research investigating the effects of medications. However, adequate adjustment for confounding remains a key issue as incorrect conclusions can be drawn amid concerns of residual or unmeasured confounding.

The high-dimensional propensity score (hd-PS) has been proposed as a solution to improve confounder adjustment nd was developed in the context of US claims data (Schneeweiss et al, 2009). This approach treats information, stored as codes, within healthcare databases as proxies for key underlying confounders. Some proxies are likely to be strongly correlated with the variables typically included in a traditional propensity score or multivariable analysis and others may represent information about patients that is otherwise unmeasured e.g. frailty. By including a large number of these proxies in the analysis the hd-PS aims to adjust for both measured and unmeasured confounding.

We present hdps, a command implementing this approach in Stata. Having defined data dimensions and the level of code truncation, hdps allows the user to set several tuning parameters: the number of codes to retain per dimension (d), the pre-specified time-frame, and the number of variables to include in the final model (k). The command generates proxy variables and performs a variable selection step to identify important variables for confounder adjustment. We illustrate hdps using a study from the Clinical Practice Research Datalink (CPRD).

Download presentation

Creating tables easily in XML

Adrian Mander
Cardiff University

Stata has provided, putdocx, which is an excellent suite of commands that can create XML documents. Often in clinical trials there is a fair amount of summary statistics and frequency tables when producing final study documents or data monitoring committee reports. Using putdocx commands works reasonably well at producing these tables but requires many lines of code to produce a reasonable table and often requires every cell of the table to be specified by the user. I will introduce a new command called report that takes the pain out of producing summary statistics tables and frequency tables. This should ease the burden on statisticians who have to do this type of work and can also therefore avoid the cut and paste culture to produce table outputs.

Download presentation

The right way to code simulation studies in Stata

Tim P. Morris
MRC Clinical Trials Unit at UCL
Michael J. Crowther
Department of Health Sciences, University of Leicester

There are two broad approaches to coding a simulation study in Stata. The first is to write an rclass program that simulates and analyses data before using the simulate command to repeat the process and store summaries of results. The second is to loop through repetitions and use the postfile family to store results. Michael favours the simulate approach because the code is much cleaner and so easier to spot mistakes. Tim favours the postfile approach because it delivers a superior dataset summarising simulation results. Both are good reasons. During yet-another argument, we spotted a third approach that is unambiguously right in that it uses cleanly structured code and delivers a useful dataset. This talk will describe the issues with the simulate and postfile approaches before showing the correct approach. Simulation studies are an important element of statistical research and that can be de-railed, sometimes badly, by coding errors. The approach that gives both clean code and a usable dataset is worthwhile for all but the simplest simulation studies.

Download presentation

State-Level Gun Policy Changes and Rate of Workplace Homicide in the United States

Kit Baum
Erika Sabbath
Summer Sherburne Hawkins

Boston College, MA, USA

Nearly 40,000 people in the U.S. die from firearm-related causes annually. Of these, about 1% are intentionally shot and killed while at work; work-related homicides account for about 10% of all workplace fatalities. While firearm policies have remained essentially unchanged at the national level, there is greater variation in state-level gun control legislation. Moreover, the gun control landscape between and within states has changed considerably over the past ten years. Little recent work has focused on determinants or epidemiology of workplace homicide. The purpose of this study is to test whether changes in state-level gun control policies are associated with changes in state-level workplace homicide rates. Our analysis shows that stronger gun-control policies, particularly around concealed carry permitting, background checks, and domestic violence may be effective means of reducing work-related homicide.

Download presentation

dbnomics: Stata client for DBnomics, the world’s economic database

Simone Signore
European Investment Fund (European Investment Bank Group), EU

dbnomics provides a suite of tools to search, browse and import time series data from DBnomics, the world’s economic database (https://db.nomics.world). DBnomics is a web-based platform that aggregates and maintains time series data from various statistical agencies across the world. dbnomics only works with Stata 14.0 or higher, since it relies on the secure HTTP protocol (https). dbnomics provides an interface to DBnomics’ RESTful API (https://api.db.nomics.world/apidocs), allowing for the advanced filtering of data using Stata’s native options syntax (see Examples). To achieve this, the command relies on Erik Lindsley’s libjson backend (ssc install libjson).

Download presentation

Needing a different space? Transformed scales in Stata

Nicholas J. Cox
Department of Geography, University of Durham

Many procedures in statistical science benefit from working on a transformed scale, either with or without a later return to the original scale. Using a logarithmic axis scale for a graph and taking logarithms of a response or predictor are common if not elementary examples. Transformations provide a theme for reviewing small Stata tips and tricks and larger Stata commands for using a transformation known to be a good idea or choosing a transformation that might be a good idea.

Terrain covered includes (1) using and labelling standard and not so standard graph scales, not just logarithm, but also root, cube root, reciprocal, neglog, asinh, logit and other folded transformations; (2) log-ratio transformations for compositional data; (3) density estimation on transformed scales; (4) user-chosen link functions for generalised linear models; (5) choice of transformations given distributions and relationships. Some recent and new Stata commands will be among the illustrations

Download presentation

7 tools to make your Stata life more pleasant

Jesse Wursten
KU Leuven FEB, Belgium

I present seven quality of life improvements for everyday Stata usage. The first three send messages to your smartphone, for example to tell you the dofile encountered an error or the end of its journey. The fourth allows for lowlevel task parallelisation which saves effort, frustration and time. The fifth is a straightforward single-line timer. The sixth lets you write dofiles in a highly organised way with minimal effort (and it writes code, which is both amazing and a little scary) and finally the seventh one makes it easy to access the US Census API.

Download presentation

A suite of user-written programmes to produce outcome tables and graphs for demographic and survival data

Rachel Pearce
BSBMT Statistician, Guy’s Hospital, London

I set out to describe the origins, development and current status of a Stata program suite I have developed to handle requests for up-to-date tables and graphs showing the demographic distribution and outcomes of Registry data.

Stata’s tabulation and graphical features continue to develop and become more flexible, and with the putdocx functions making it straightforward to generate reports, it is easier than ever to create publication quality output.

However it is also important to make sure when creating graphs and tables that the headings, axis labels, legend etc. match the content.

As the statistician with the British Society of Blood and Marrow Transplantation (BSBMT) demands on my time include specific retrospective studies. In these cases, data are double checked, cleaned and returned to me at a pre-specified time point. Other analysis requests also increasingly include "up-to-date" reports on the whole Registry, or large subsections of it. These frequently involve repetitive graphs and/or tables, e.g. cycling over diagnosis or over centres where the procedures were performed. This drove the creation of the suite of programs I will describe to generate tables of demographics and outcomes, and graphs (mostly survival curves).

Download presentation

Estimating long run coefficients and bootstrapping standard errors in large panels with cross-sectional dependence

Jan Ditzen
Heriot-Watt University

This talk explains how to estimate long run coefficients and bootstrap standard errors in a dynamic panel with heterogeneous coefficients, common factors and a large number of observations over cross-sectional units and time periods. The common factors cause cross-sectional dependence, which is approximated by cross-sectional averages. Heterogeneity of the coefficients is accounted by taking the unweighted averages of the unit-specific estimates. Following Chudik, Mohaddes, Pesaran and Raissi (2016, Advances in Econometrics 36: 85-135) I consider three different models to estimate long-run coefficients: a simple dynamic model (CS-DL), an error-correction model, and an ARDL model (CS-ARDL). I explain how to estimate all three models using the Stata community-contributed command xtdcce2. In a second step the non-parametric standard errors and bootstrapped standard errors are compared. The bootstrap follows on the lines of Goncalves and Perron (2016) and the user written command boottest (Roodman, Nielsen, Webb and Mackinnon, 2018). The challenges are to maintain the error structure across time and cross sectional units and to encompass the dynamic structure of the model.

Download presentation

New functions for random samples generation using Stata

Gabriel Aguilera-Venegas
José Luis Galán-García
María Ángeles Galán-García
Yolanda Padilla-Domínguez
Pedro Rodríguez-Cielos

Departamento de Matemática Aplicada, Universidad de Málaga, Spain

In the 2017 Spanish Stata Users Group meeting, held in Madrid on October 19th, we introduced some functions for generating random samples from continuous and discrete distributions using Stata 13[1].

In this talk, we will show new extensions of such functions updated for Stata 15. We will describe their syntax and show different examples of use. In addition, we will compare the new developed functions with the build-in Stata ones and with the function rsample introduced in [2]. The goodness of the generated samples will be checked using the mean squared error (MSE) of the differences between the frequencies of the sample and the theoretical expected ones. We will also provide bar charts which will allow the user to compare graphically the sample with the exact distribution function of the random distribution which is being sampled.

Graphics capabilities are included in the new developed functions so that the distribution of the generated sample can be displayed. This fact is useful in the teaching and learning process in subjects which deals with Statistics. Specifically, this educational approach has been considered when teaching the subject "Statistics" in the Health Engineering degree of the University of Málaga (Spain).


[1] Gabriel Aguilera-Venegas, José L. Galán-García, María Á. Galán-García, Yolanda Padilla-Domínguez, Pedro Rodríguez-Cielos, Ricardo Rodríguez-Cielos. Random samples generation with Stata from continuous and discrete distributions. 2017 Spanish Stata Users Group meeting, Madrid (Spain). 2017.

[2] Katarína Lukácsy. Generating random samples from user-defined distributions. Stata Journal 11(2): 299Ð304. 2011

Download presentation

Analysis of pre- and post-intervention outcomes with floor and ceiling effects

Adrian Sayers
Michael R. Whitehouse
Andrew Judge

Musculoskeletal Research Unit, University of Bristol
Alexander MacGregor
Musculoskeletal Medicine Research Group, University of East Anglia
Ashley W. Blom
Musculoskeletal Research Unit, University of Bristol
Yoav Ben-Shlomo
Bristol Population Health Science Institute, University of Bristol

Background: Analysis of pre/post intervention change in observational studies using Patient Reported Outcome Measures (PROMs) is often believed to be a trivial exercise, and guidance for analysis of data from randomised controls trials is often applied. This is often inappropriate, and that analysis of change scores may be preferable. However, it is unclear if this is suitable in outcomes with floor and ceiling effects. We investigate the association between body mass index (BMI) and the efficacy of primary hip replacement.

Methods: Using a Monte-Carlo simulation study and data from a national joint replacement register (162,513 patients with pre/post surgery PROMs) we investigate simple approaches for the analysis of outcomes with floor and ceiling effects that are measured at two occasions: linear and Tobit regression (baseline adjusted ANCOVA, change-score analysis, post-score analysis) in addition to linear and multi-level Tobit models.

Results: Analysis of data with floor and ceiling effects with models that fail to account for these features induce substantial bias. Single level Tobit models only correct for floor or ceiling effects when the exposure of interest is not associated with the baseline score. In observational data scenarios, only multi-level Tobit models are capable of providing unbiased inferences.

Conclusions: Inferences from pre/post studies that fail to account for floor and ceiling effects may induce spurious associations with substantial risk of bias. Multi-level Tobit models indicate the efficacy of total hip replacement is independent of BMI. Restricting access to total hip replacement based on a patients BMI cannot be supported by the data.

Making interactive presentations in Stata

Maarten Buis
Department of History and Sociology, University of Konstanz, Germany

In this presentation, I will go through the workflow of creating an interactive presentation in Stata (a .smcl presentation) with smclpres based on a small example presentation.

Some talks are primarily on how to do things in Stata, like a lecture on graphs in Stata or a talk at a Stata Users' Group meeting. In those cases, a .smcl presentation can be useful. A .smcl presentation is a series of linked .smcl files that open in the viewer inside Stata (like help files). The strength of a .smcl presentation is that it can contain links that execute examples, open help files, open do-files, etc.

A .smcl presentation is all about illustrating how to do something in Stata, so preparing for such a talk typically starts with preparing a set of examples in a do-file. By adding specific comments to that do-file, for example, to indicate when a slide starts and when it ends, what the title of the slide is, etc., the smclpres command can turn that do-file into a .smcl presentation. Moreover, the pres2html command can turn that .smcl presentation into an HTML handout so that participants can easily access the content after the presentation.

Download presentation

Generalized method of moments estimation of linear dynamic panel data models

Sebastian Kripfganz
University of Exeter Business School

In dynamic models with unobserved group-specific effects, the lagged dependent variable is an endogenous regressor by construction. The conventional fixed-effects estimator is biased and inconsistent under fixed-T asymptotics. To deal with this problem, "difference GMM" and "system GMM" estimators in the spirit of Arellano and Bond (1991, Review of Economic Studies), Arellano and Bover (1995, Journal of Econometrics), and Blundell and Bond (1998, Journal of Econometrics) are predominantly applied in practice. While Stata has the official commands xtabond and xtdpdsys – both are wrappers for xtdpd – the Stata community widely associates these methods with the xtabond2 command provided by Roodman (2009, Stata Journal).

10 years after Roodman’s award-winning Stata Journal article, this talk revisits the GMM estimation of dynamic panel data models in Stata. I present the new command xtdpdgmm that addresses some shortcomings of xtabond2 and adds further flexibility to the specification of the estimators. In particular, it allows to incorporate the Ahn and Schmidt (1995, Journal of Econometrics) nonlinear moment conditions that can improve the efficiency and robustness of the estimation. Besides the familiar one-step and two-step estimators, xtdpdgmm also provides the Hansen, Heaton, and Yaron (1996, Journal of Business & Economic Statistics) iterated GMM estimator.

While it can be pedagogically useful to think about "system GMM" as a system of a level equation and an equation in first differences or forward-orthogonal deviations, I explain that the resulting estimator can still be regarded as a "level GMM" estimator with a set of transformed instruments. These transformed instruments can be obtained as a postestimation feature and used for subsequent specification tests, for example with the ivreg2 command suite of Baum, Schaffer, and Stillman (2003 and 2007, Stata Journal). I further address common pitfalls and frequently asked questions about the estimation of linear dynamic panel data models.

Download presentation

Meta-analysis in Stata

Yulia Marchenko
StataCorp, College Station, TX, USA

Meta-analysis combines results of multiple similar studies to provide an estimate of the overall effect. This overall estimate may not always be representative of a true effect. Often, studies report results that vary in magnitude and even direction of the effect, which leads to between-study heterogeneity. And sometimes the actual studies selected in a meta-analysis are not representative of the population of interest, which happens, for instance, in the presence of publication bias. Meta-analysis provides the tools to investigate and address these complications. Stata has a long history of meta-analysis methods contributed by Stata researchers. In my presentation, I will introduce Stata's new suite of commands, meta, and demonstrate it using real-world examples.

Download presentation

A SSC module called ultimatch

Thorsten Doherr
Leibniz Centre for European Economic Research, Mannheim, Germany

ultimatch implements various score and distance based matching methods, i.e. Nearest Neighbor, Radius, Coarsened Exact, Percentile Rank and Mahalanobis Distance Matching. It implements an efficient method for distance based matching like Mahalanobis matching preventing the quadratic increment of the runtime. Matched observations are marked individually allowing interactions between treated and counterfactuals. Different methods can be combined to improve the results and/or to impose external requirements on the matched. Among other control variables, it creates mandatory weights to provide balanced matching results, preventing distortions caused by skewed counterfactual candidate distributions, e.g. overabundance of candidates with the same score or within the same coarsened group.

Download presentation

discretize: Command to convert a continuous instrument into a dummy variable for instrumental variable estimation

Sébastian Fontenay
ECON-IRES, Université Catholique de Louvain, Belgium

The Instrumental Variable (IV) method is a standard econometric approach to address endogeneity issues (i.e. when an explanatory variable is correlated with the error term). It relies on finding an instrument, excluded from the outcome equation (second stage), but which is a determinant of the endogenous variable of interest (first stage). Many instruments rely on cross-sectional variation produced by a dummy variable, which is discretized from a continuous variable. There might be several reasons for converting a continuous variable into a binary instrument. First, continuous instruments recoded as dummies have been shown to provide a parsimonious non-parametric model for the underlying first stage relation (Angrist & Pischke, 2009). Second, it provides a simple tool to evaluate the IV strategy and the identification assumptions. Unfortunately, the construction of the binary instrument often appears to be arbitrary, which may raise concerns about the robustness of the second stage results.

We propose a data-driven procedure to build this discrete instrument, implemented in a command called discretize. The boundaries of the discrete variable are chosen to maximize the F-statistic in the first stage. This procedure has two main advantages. First, it minimizes the weak instrument problem, which can arise in case of incorrect functional specification in the first stage. Second, it offers a transparent, data-driven, procedure to select an instrument that does not depend on arbitrary decisions made by the researcher. Several options are available with the command to check graphically the robustness of the first and second stage parameters.

The presentation includes an explanation of the functioning of the discretize command, as well as an illustration of its usefulness with an example that relates the raise of violent crime in city centers and the process of suburbanization. The endogenous relation is solved using lead poisoning as instrument.


Angrist, J. D., & Pischke, J.-S. (2009). Mostly harmless econometrics: An empiricist's companion. Princeton: Princeton University Press.

Download presentation

Unbiased IV in Stata

Austin Nichols
Abt Associates

A well-known result is that exactly identified IV has no moments, including in the ideal case of an experimental design (that is, a randomized control trial with imperfect compliance). This result no longer holds when the sign of the first stage is known, however. I describe a Stata implementation of an unbiased estimator for instrumental-variable models with a single endogenous regressor where the sign of one or more first-stage coefficients is known (due to Andrews and Armstrong 2017) and its finite sample properties under alternative error structures.

Download presentation

Interactive graphics in the web browser using Stata2D3 and Stata's SVG graph exports

Robert Grant

Tim P. Morris
MRC Clinical Trials Unit at UCL

A prototype command d3 to make interactive graphs with the JavaScript library D3 (Data-Driven Documents) was presented at the 2014 London Stata Users' Group meeting.

Since then, the SVG graph export format in Stata versions 14 and up has made this task much simpler. I present a new version of d3 and supporting commands in a package called Stata2D3, which takes advantage of the innate link between SVG and web browsers. Together, they export any Stata graph to SVG, wrap this in an HTML file, tag components of the graph such as markers and lines, append data from other variables of interest, and use the D3 library to add interactivity.

The result is a familiar Stata graph in the web browser, styling of which can be controlled in the usual ways, but with the option of interactivity such as pop-up information when the mouse hovers over a marker or line, highlighting one line on click or hover, or tickboxes to show and hide groups of data. Any Stata graph is immediately available, and different forms of interactivity can be added.

Download presentation

Bayesian network meta-analysis

Ian R. White
MRC Clinical Trials Unit at UCL

Network meta-analysis is a statistical approach to combining evidence from multiple studies comparing multiple treatments. It may be "two-stage", where treatment effects and their variances are estimated separately for each study and then combined using a Normal approximation; or “one-stage”, where summary statistics at treatment group level (e.g. number of events and number of individuals) are directly analysed. My network suite currently provides various tools for exploring network meta-analysis data and analysing them in a two-stage frequentist approach (White IR. Network meta-analysis. The Stata Journal 2015; 15: 1–34). I will describe arguments for preferring a one-stage Bayesian approach, and recent work implementing it. The one-stage approach amounts to fitting a generalised linear mixed model, but I was unable to achieve adequate mixing using bayes: meglm. I will describe my alternative approach of automating the writing and running of a WinBUGS program. This process is implemented in the new network bayes and allows substantial modelling flexibility, including Normal or binomial data; various contrast-based and arm-based models; various heterogeneity structures; and the option to sample from the prior. Features not yet implemented are inconsistency models and meta-regression.

Download presentation

Heat (and hexagon) plots in Stata

Ben Jann
University of Bern, Switzerland

In this talk I will present two new Stata commands to produce heat plots. Generally speaking, a heat plot is a graph in which one of the dimensions of the data is visualized using a color gradient. One example of such a plot is a two-dimensional histogram in which the frequencies of combinations of binned X and Y are displayed as rectangular (or hexagonal) fields using a color gradient. Another example is a plot of a trivariate distribution where the color gradient is used to visualize the (average) value of Z within bins of X and Y. Yet another example is a plot that displays the contents of a matrix, say, a correlation matrix or a spacial weights matrix, using a color gradient. The two commands I will present are called heatplot and hexplot.

Download presentation

Inference after lasso model selection

David Drukker
StataCorp, College Station, TX, USA

The increasing availability of high-dimensional data and increasing interest in more realistic functional forms have sparked a renewed interest in automated methods for selecting the covariates to include in a model. I discuss the promises and perils of model selection and pay special attention to estimators that provide reliable inference after model selection. I will demonstrate how to use Stata 16's new features for double selection, partialing out, and cross-fit partialing out to estimate the effects of variables of interest while using lasso methods to select control variables.

Download presentation

Exponential regression models with two-way fixed effects: twexp and twgravity

Koen Jochmans
Faculty of Economics, University of Cambridge
Vincenzo Verardi
FUNDP, Université Libre de Bruxelles, Belgium

We present the commands twexp and twgravity that implement the estimators developed in Jochmans (2017) for exponential regression models with two-way fixed effects. twexp is applicable to generic nxm panel data. twgravity is written for the special case where the data is a cross-section on dyadic interactions between n agents. A prime example of the latter is cross-sectional bilateral trade data, where the model of interest is a gravity equation with importer and exporter effects. Both twexp and twgravity can deal with data where n and m are large, that is, the case of many fixed effects.

Idea: The pseudo-Poisson approach suffers from two drawbacks. The first is a numerical one. Indeed, the large amount of fixed effects implies that a simple approach that combines, say, poisson with n+m dummy variables will be infeasible in many datasets. The routines poi2hdfe (Guimaraes 2016) or ppmlhdfe (Correia et al. 2019) are designed especially to deal with this problem and are useful alternatives here. The second drawback is that the plug-in estimator of the covariance matrix of the above moment conditions is severly biased. The origin of the problem is the estimation of the incidental parameters.

Download presentation

Quantile regression: basics and recent advances

João Santos Silva
School of Economics, University of Surrey

This talk starts with a general introduction to quantile regression (see qreg and related commands) and then addresses two topics from recent research, specifically quantile regression with time-invariant individual ("fixed") effects, and structural quantile function estimation. After summarizing the main results in these areas, I present the approach to these problems proposed by Machado and Santos Silva ("Quantiles via moments", Journal of Econometrics 2019, forthcoming), and illustrate the use of the corresponding Stata commands xtqreg and ivqreg2 (downloadable from SSC).

Download presentation

Post your comment

Timberlake Consultants