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st: RE: xtivreg


From   "Steven Stillman (LMPG)" <Steven.Stillman@lmpg.dol.govt.nz>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtivreg
Date   Tue, 11 Feb 2003 14:26:30 +1300

Pedro,
At this point, your best bet is to transform your data using xtdata, fe and
use ivreg2 to estimate a fixed-effect iv model.   As the default for ivreg2
is to produce large sample estimates, your test results and standard errors
will not be affected by the transformation.  This will not work for
estimating a random effects iv model.  Writing an xtivreg2 program which
does this all automatically is on my to-do list but I am not sure how soon I
will have time to do it.
Steve  

> -----Original Message-----
> From:	Pedro Martins [SMTP:P.Martins@warwick.ac.uk]
> Sent:	Tuesday, February 11, 2003 8:24 AM
> To:	statalist@hsphsun2.harvard.edu
> Subject:	st: xtivreg
> 
> dear all,
> can one do an overidentification test with xtivreg? i don't get the
> relevant statistic, unlike in ivreg2 for instance
> i would also like to obtain the statistics for the excluded instruments
> (partial R-squared and F-test) that one gets in ivreg2 but which again
> do not seem to be worked out with xtivreg
> thank you
> pedro martins
> 
> 
> 
> ****************************************************
> Pedro Martins
> Department of Economics
> University of Warwick
> Coventry CV4 7AL
> United Kingdom
> 
> Tel: +44/0 24765 28418
> Fax: +44/0 24765 23032
> Email: p.martins@warwick.ac.uk
> Web: www.warwick.ac.uk/staff/P.Martins
> *****************************************************
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