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st: Hausman & Taylor (panel data)


From   am30@sussex.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman & Taylor (panel data)
Date   Sun, 08 Feb 2004 13:10:31 +0000

Dear Statalisters,

I am trying to estimate a panel data model that instruments for
endogeneity by using internal instruments, but with a model which has
both exogenous and endogenous tine varying regressors, and exogenous
time-invariant regressors.

xthtaylor command (one of the innovations in Stata 8) performs Hausman
and Taylor estimation, which is ideal for my case. However, it asks me
to specify BOTH time-varying and time-invariant endogenous regressors,
and I only have to control for endogeneity on one time-varying
regressor.

Does anyone know how to sort this without needing to change my
assumptions and the intuition behind my model?

Any suggestions are welcomed!

Thanks,
Andrea

Andrea Molinari
PhD in Economics student
University of Sussex
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