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st: Instrumental variables regression for grouped panel data


From   Shuchita Agarwal <agar0040@umn.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Instrumental variables regression for grouped panel data
Date   Sun, 13 Jun 2004 20:43:29 -0500

Hello!

I am pretty new to STATA and need help with the following.

My study involves an unbalanced panel dataset of about 11000 observations with 198 cross-sections. The dependent variable is a proportion between 0 and 1.

There is also an endogenous variable, which will be taken care of by instrumental variable random effects regression. However, I do want to test for endogeneity (Hausman test).

My questions are:
1) How does one perform a test for endogeneity (Hausman test)? How can one save residuals in STATA?

2) Can I use xtivreg command for a dependent variable which is a proportion?

3) STATA doesn't allow me to use string variables in the random effects regression, and gives an error of r(2000): no observations. What is the cause of this problem?

Thanks in advance,

Sue

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