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st: RE: Stata/Econometric question
Maureen. xtivreg should give the same results as when you do the model by
hand. are you including all your exogenous variables (including the
excluded instruments) in the first-stage regression and are you including
the fixed effects in your prediction of the wage?
to demonstrate try:
xtivreg price gear_ratio displacement ( mpg = weight length), fe
xtreg mpg gear_ratio displacement weight length, fe i(foreign)
predict fmpg, xbu
xtreg price fmpg gear_ratio displacement, fe i(foreign)
The coefficient results from the last command are identical to the xtivreg
Hope this helps,
> -----Original Message-----
> From: Maureen Paul [SMTP:M.Paul@warwick.ac.uk]
> Sent: Thursday, July 31, 2003 12:05 AM
> To: firstname.lastname@example.org
> Subject: st: Stata/Econometric question
> Hi all
> I am estimating a labour supply equation with wage as a LHS variable. When
> I use -xtivreg, fe- the logwage variable becomes insignificant with a
> very high standard error. However, if I perform the IV manually by first
> estimating a fixed effects wage equation and then using the log of the
> predicted wage in the fixed effects hours equation, the estimate is fine.
> Note that the instrument used passes the tests of validity.
> My questions are
> 1. Can anyone tell me why I am getting these different results?
> 2. How much should I be concerned about this given that the wage is not
> really the variable I am interested in?
> Many thanks in advance for any help.
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