Fitting and interpreting correlated random-coefficient models using stata

Oscar Barriga Cabanillas, Jeffrey D. Michler, Aleksandr Michuda, Emilia Tjernström

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

In this article, we introduce the community-contributed command randcoef, which fits the correlated random-effects and correlated random-coefficient models discussed in Suri (2011, Econometrica 79: 159-209). While this approach has been around for a decade, its use has been limited by the computationally intensive nature of the estimation procedure that relies on the optimal minimum distance estimator. randcoef can accommodate up to five rounds of panel data and offers several options, including alternative weight matrices for estimation and inclusion of additional endogenous regressors. We also present postestimation analysis using sample data to facilitate understanding and interpretation of results.

Original languageEnglish (US)
Pages (from-to)159-173
Number of pages15
JournalStata Journal
Volume18
Issue number1
DOIs
StatePublished - Mar 2018
Externally publishedYes

Keywords

  • Correlated random coefficients
  • Correlated random effects
  • Heterogeneity
  • Randcoef
  • St0517
  • Technology adoption

ASJC Scopus subject areas

  • Mathematics (miscellaneous)

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