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Re: st: LIML and fixed/random effects


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, "SURAN, LUCIANA" <LSURAN@popcouncil.org>
Subject   Re: st: LIML and fixed/random effects
Date   Mon, 07 Jun 2004 00:23:50 +0100 (BST)

Luciana,

Quoting "SURAN, LUCIANA" <LSURAN@popcouncil.org>:

> Dear Statalist users,
> 
> I was wondering if STATA can handle LIML estimation with fixed
> and/or random effects in the outcome equation?  I've found a couple
> of programs that can deal with LIML estimation (condivreg and
> ivreg2, for example) but I was wondering how I can include
> fixed/random effects as well.

If you put all your variables (including the instruments) into mean-
deviation form by hand, and use ivreg2 or condivreg do to the LIML 
estimation on the demeaned data, you will in effect have done LIML with 
fixed effects.  The only problem (aside from the hassle of having to do 
the demeaning) is that, as usual when estimating in mean-deviation form, 
the degrees of freedom will be wrong and you'll need to adjust your 
standard errors.  Also straightforward, but again a minor hassle.

Hope this helps.

--Mark

> 
> 
> Thanks to all,
>  Luciana Suran
>  lsuran@popcouncil.org
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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