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st: RE: using xtivreg2 with no endogeneity problem


From   "Steven Stillman" <steven@thestillmans.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: using xtivreg2 with no endogeneity problem
Date   Tue, 26 Sep 2006 18:22:04 +1200

The very short answer is yes - ivreg2 and xtivreg2 will run correct OLS and
panel regression models if the user wishes to use other options available in
these commands.

However, in this example, there is no difference between issuing the command
'xtivreg2 y x1 x2 x3 x4 x5 t1-t5 d,fe ivar(i) robust cluster(i)' and 'xtreg
y x1 x2 x3 x4 x5 t1-t5 d,fe ivar(i) robust cluster(i)' in stata 9.  You
might consider instead trying 'xtivreg2 y x1 x2 x3 x4 x5 t1-t5 d ( =l1.d
l2.d), fe ivar(i) gmm robust cluster(i)' which will estimate a fixed effects
version of Cragg's "heteroskedastic OLS" (HOLS) estimator (see the help file
for ivreg2 for more information).

Cheers,
Steve

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of
Woong.Chung@colorado.edu
Sent: Tuesday, September 26, 2006 11:12 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: using xtivreg2 with no endogenity problem


Hello.
I just wonder if I can still use xtivreg2 even if there is no endogenity
problem.
For instance, I run

"xtivreg2 y x1 x2 x3 x4 x5 t1-t5 (d=l1.d l2.d),ffirst fe ivar(i) gmm
endog(d)
robust cluster(i)"

and figured out that it failed to reject the endog testing(then it says that
d
has not endogenity issue),then my question is that I can still use xtivreg2
in
order to dealing with heteroskadasticity(robust) and error-correlated issue
(cluster) such as:
" xtivreg2 y x1 x2 x3 x4 x5 t1-t5 d,fe ivar(i) robust cluster(i)"

Appreciate of commentings if there are any other suggestions that deal with
this issue




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