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Re: st: Re: IV and fixed effects


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: IV and fixed effects
Date   Mon, 09 May 2005 12:26:14 +0100

Just to follow up on Kit's email,

From:           	Kit Baum <baum@bc.edu>
Subject:        	st: Re: IV and fixed effects
Date sent:      	Mon, 9 May 2005 07:11:47 -0400
To:             	statalist@hsphsun2.harvard.edu
Send reply to:  	statalist@hsphsun2.harvard.edu

> Presumably you have too many fixed effects to implement directly. But 
> you can always apply the demeaning transformation "by hand" to each 
> variable--that is, by unit, express each variable as a deviation for 
> the unit's mean--and then apply any appropriate estimator to the 
> transformed variables. That is all that the xtivreg,fe estimator (or 
> any estimator of the LSDV model, such as xtreg, fe or areg) is doing 
> anyway. The egen mean function (which supports the bys unit: prefix) 
> may be useful in doing this demeaning transformation.

Ben Jann's -center- will do this very nicely, with a casewise option 
and support for aweights.  Dealing with weights might be a bit 
tricky, though - is it simply a case of demeaning using weighted 
means?  If so, aweights is good enough.

--Mark

> 
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> 
> On May 9, 2005, at 2:33 AM, Juanhui wrote:
> 
> > My survey data requires me to run fixed effect OLS regression with 
> > instrumental
> > variables. However, xtivreg doesn't support weights. ivreg doesn't 
> > support fixed
> > effects and areg doesn't support iv. Is there any way to combine them 
> > together
> > and get me finish my thesis?
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

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