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st: First-Stage Regression Statistics in XTIVREG


From   Joana Quina <joana.statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: First-Stage Regression Statistics in XTIVREG
Date   Thu, 6 Oct 2005 16:56:06 +0100

Dear Statalisters,

I need to perform instrumental variables (IV) estimation on panel
data.  I have a random effects (RE) model.  I have been using xtivreg,
re, with the "first" option, but the partial R-squared and F statistic
on the excluded instruments in the first-stage regression are not
reported and I really need them to check the quality of the IV
estimates.
If I had a fixed effects (FE) model I could use xtdata, fe to time
demean my data and then use ivreg2, but I don't and quite a few of my
variables are time-invariant.

I am truly stuck, so any suggestions would be much appreciated.

Best regards,
Joana

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