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Re: st: xtivreg:how to instrument more than one endogenous variable?
Two points to make here.
Quoting Dev Vencappa <email@example.com>:
> Stata users, I apologise if that has been posted before and would
> really be grateful to be pointed to the relevant query on statalist
> for that. Does anybody know if more than one endogenous variable can
> be instrumented within xtivreg?
> I have tried (in one single line):
> xtivreg TFPGTL2 outpgrowth capintgrow factgrow (npintermediate
> npcapital npconsumer=l.npintermediate l.npcapital l.npconsumer) if
> origtariffcoding==1, fe
> and I am getting the message:
> no observations
There's nothing wrong with the syntax. Do you have any missing values?
Try running a nonsense regression using the same observations, i.e.,
ivreg TFPGTL2 outpgrowth capintgrow factgrow (npintermediate npcapital
npconsumer=l.npintermediate l.npcapital l.npconsumer) if
and see what happens.
> I tried to break the command into two lines:
> xtivreg TFPGTL2 outpgrowth capintgrow factgrow/*
> */(npintermediate npcapital npconsumer=l.npintermediate l.npcapital
> l.npconsumer) if origtariffcoding==1, fe
> and am getting the message:
> factgrow: operator invalid
> Also, if the above were to be made to work, I wonder if it would
> actually achieve what I want to do:
> ie, instrument npintermediate with its first lag. Instrument
> npcapital with its first lag. Instrument npconsumer with its first
> lag. At the moment, the command looks to me as if the instruments
> will be used at random for the instrumented variables (or I may be
> wrong in understanding how stata works)
Actually, I think the misunderstanding is in how the method of
instrumental variables works. See e.g.
or Vince Wiggins' FAQ on instrumental variables on the Stata website.
> Any help in this greatly appreciated.
> Many thanks
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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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