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st: RE: A question about xtivreg


From   "Salvati, Jean" <[email protected]>
To   <[email protected]>
Subject   st: RE: A question about xtivreg
Date   Thu, 16 Dec 2004 09:41:33 -0500

EC2SLS is a random-effect estimator based on the assumption that the
individual effect is not correlated with any of the regressors.

- xtivreg, fe- implements the "within" or "fixed-effect" estimator,
which allows the individual effect to be correlated with the regressors.

As explained in the doc for -xtivreg-, EC2SLS can be expressed as a
weighted average of the "within" and "between" estimators.

Jean Salvati
 

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> bulent Koksal
> Sent: Wednesday, December 15, 2004 4:27 PM
> To: [email protected]
> Subject: st: A question about xtivreg
> 
> A question about xtivreg
> 
> What is the difference between Fixed effect below and ec2sls 
> estimator? As I know EC2sls is used to estimate simulatenous 
> equation panel data models. So if I can use 1) and have 
> endogoneous right hand side variables, why do I need EC2sls? 
> Thank you for any replies.
> 
> 1)
> Fixed-effects model
> 
>         xtivreg depvar [ varlist_1 ] (varlist_2 = varlist_iv) [if exp]
>                 [in range] , fe [ regress i(varname) small first level
> (#) ]
> 
> and
> 
> 
> 2)
>     GLS Random-effects model
> 
>         xtivreg depvar [ varlist_1 ] (varlist_2 = varlist_iv) [if exp]
>                 [in range] [, re ec2sls nosa regress 
> i(varname) theta small
>                 first level(#) ]
> 
> 
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