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st: Re: New on ssc-ideas - xtivreg2

From   "Andrea Molinari" <>
To   <>
Subject   st: Re: New on ssc-ideas - xtivreg2
Date   Fri, 4 Nov 2005 17:21:49 -0000

Dear Mark,

Many thanks for programming this command!

I am not sure if it's just me, but when I estimated my fe model with:

xtivreg2 $text (lreptextg lrectextg rcatextx = l.lrgdp95pcx l.lrgdp95pcm l.bttext l.lbrer l.lreptextg), fe gmm small
I cannot get Stata to tell me the excluded instruments at the end, I get the following output:

Instrumented: lreptextg lrectextg rcatextx
Included instruments: lrgdp95pcm lrgdp95pcx bttext lbrer d80 d81 d82 d83 d84 d85
d86 d87 d88 d89 d90 d91 d92 d93 d94 d95 d96 d97 d98 d99
Excluded instruments: __000003 __000004 __000005 __000006 __000007 __000008
Dropped collinear: d79

This happens with and without the gmm and small options, but it is not the case when I use -ivreg2- for the pooled model. Can this possibly be a bug in the program? I made sure I've got version 2.1.11 -ivreg2-

Many thanks,

----- Original Message ----- From: "Mark Schaffer" <>
To: <>
Sent: Wednesday, November 02, 2005 1:13 PM
Subject: st: New on ssc-ideas - xtivreg2

Thanks to Kit Baum, a new program, -xtivreg2-, is available on ssc-

-xtivreg2- implements IV/GMM estimation of the fixed-effects and
first-differences panel data models with possibly endogenous
regressors.  It is essentially a wrapper for -ivreg2- by Baum-
Schaffer-Stillman, which must be installed for -xtivreg2- to run
(version 2.1.11 or above of -ivreg2- is required: -ssc install
ivreg2, replace-).  -xtivreg2- supports all the estimation and
reporting options of -ivreg2-; see help -ivreg2- for full
descriptions and examples.

All the statistics available with -ivreg2- (heteroskedastic, cluster-
and autocorrelation-robust covariance matrix and standard errors,
overidentification and orthogonality tests, first-stage and
weak/underidentification statistics, etc.) are supported by
-xtivreg2- and will be reported with any degrees-of-freedom
adjustments required for a panel data estimation.

Version 8.2 of Stata is required.

Prof. Mark E. Schaffer
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
44-131-451-4202 CERT administrator

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