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Re: st: xtivreg, fd


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtivreg, fd
Date   Fri, 30 Apr 2004 17:00:04 +0100

Antonio,

Date sent:      	Fri, 30 Apr 2004 13:04:56 +0200
From:           	"Antonio Rodrigues Andres" <ara@sam.sdu.dk>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	st: xtivreg, fd
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear Stata users
> I am trying a simple dynamic model with the lagged value of the dep.
> variable as regressor. I pretend to obtain the Anderson-Hsiao estimator
> using yit-2 as instrument but i did not succeed. I should get the same
> results using xtivreg, fd and ivreg with the differenced variables
> 
> Does anybody knows why not
> 
> sort country year
> by country: gen lsrt_1=lsrt[_n-1]
> by country:gen lsrt_2=lsrt[_n-2]

Does Stata know at this point that your data are panel data?  If not, 
some of the lags might be messed up.  For example, the 1-period lag 
for the first time period of observation 2 should be missing, but 
Stata might be using the latest time period of observation 1 instead. 
If you use tsset and then time series operators to create the lags, 
e.g., l2.lsrt instead of lsrt[_n-2], this won't happen and the lags 
will be correct.

Hope this helps.

--Mark

> gen dlsrt=lsrt-lsrt_1
> gen dlsrtl=lsrt_1-lsrt_2
> 
> Model yt=  alpha* yt-1 + eta _i +ut
> variables have been already differenced
> 
> ivreg dlsrt (dlsrtl=lsrt_2) using yit-2 as instrument
> 
> tsset country year
> xtivreg lsrt (lsrt_1=lsrt_2), i(country) fd
> 
> Regards
> Antonio
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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