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Re: st: xtivreg, fd,
Quoting Antonio Rodrigues Andres <email@example.com>:
> Many thanks for your help Mark.
> I still get different output using ivreg and xtivreg, fd.
> *SET INDIVIDUAL (i) AND TIME (t) INDEXES;
> iis country
> tis year
> sort country year
> tsset country year
> gen lsrt1=l.lsrt
> gen lsrt2=l2.lsrt
> gen dlsrt=d.lsrt
> gen dlsrt1=d.lsrt1
> ivreg dlsrt (dlsrt1=lsrt2)
> xtivreg lsrt (l.lsrt=l2.lsrt), fd
These look like different regressions, and this may be why the results are
different (and even use different size samples, 244 obserations vs. 218).
The second regression uses the -fd- option, so everything is, I think, in
first-differences. It has one regressor, the lagged FD. It is being
instrumented with the 2nd lag of the FD.
The first regression has one regressor, the lagged FD. It is being
instrumented with the 2nd lag of the LEVEL.
If you re-do the first regression but use the 2nd lag of the FD as the
(excluded) instrument, i.e., d.lsrt2, you might get the same results.
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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