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Re: st: xtivreg:how to instrument more than one endogenousvariable?
thanks a lot for the quick reply and for pointing out towards clarification of the concept of IV. Indeed, as you rightly spotted, the problem was with some missing observations, coming from wrongly coding some lines in the do file. It is a lot clearer now.
>>> M.E.Schaffer@hw.ac.uk 29/09/2004 23:42:44 >>>
Two points to make here.
Quoting Dev Vencappa <firstname.lastname@example.org>:
> 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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