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Re: st: Heteroscedasticity and endogeneity in panel
What about the multicolinearity between Xs and Zs?
You are running a model where Y = f [ X(Z), Z] hence the Cov(X,Z) is not
To account for heteroscedasticity across panels you can use the -xtgls-
command (use the -force- option if your panel is an unbalanced one)
The command -xtivreg- will help you with the endogeneity problem by doing a
similar 2-stage least squares test as the one outlined by Vincenzo.
Hope this helps,
----- Original Message -----
From: "Vincenzo Verardi" <email@example.com>
Sent: Saturday, February 07, 2004 12:52 PM
Subject: RE: st: Heteroscedasticity and endogeneity in panel
> I do not know if it is 100% orthodox, but I would probably act like this:
> If you have a model, lets say:
> yit=a+bxit+czit+e where xit is endogenous and you would like to instrument
> it by wit (zit is a set of exogenous variables).
> I would first estimate
> (where a2 and c2 are just the coefficients associated respectively to the
> constant and the z variable in this equation and e2 is an error term)
> and fit the xit (let's call it xxit).
> then I would estimate
> with the heteroskeastic structure you want.
> Normally this should solve your problem (or at least I hope)
> P.S. For the tests, this is fairly standard. Check xttest for
> heteroskedasticity and maybe a Durbin-Wu-Hausman for endogeneity.
> >From: "Andrea Molinari" <A.Molinari@sussex.ac.uk>
> >Reply-To: firstname.lastname@example.org
> >To: <email@example.com>
> >Subject: st: Heteroscedasticity and endogeneity in panel
> >Date: Thu, 5 Feb 2004 13:44:46 -0000
> >Dear Statalisters,
> >I am trying to estimate a model in panel data, but which has both
> >heteroscedastic variances and an endogeneity problem. I was wondering
> >whether there would be a suitable model to do this at once. I also need
> >test for both of these.
> >My dataset is unbalanced, and it has a big N (420 individuals) and a
> >relatively smaller T (22 years).
> >I would really appreciate any suggestions!
> >Andrea Molinari
> >* For searches and help try:
> >* http://www.stata.com/support/faqs/res/findit.html
> >* http://www.stata.com/support/statalist/faq
> >* http://www.ats.ucla.edu/stat/stata/
> Charla con tus amigos en línea mediante MSN Messenger:
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
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