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st: xtivreg2 fixed effect or first difference?


From   "sistoand80" <[email protected]>
To   "stata statta" <[email protected]>
Subject   st: xtivreg2 fixed effect or first difference?
Date   Fri, 19 Jan 2007 17:48:34 +0100

Dear all
my panel consists of 6 years and 14 european countries. I'm estimating a linear model but I'm facing two different problem:

- one regressor violetes the strict exogeneity assumption
- I've perfomed xtserial on my model (hence the regression in the first-difference one) and the results confirm the presence of serial correlation in Uit (the null of no correlation is rejected)

For the first problem I've found several instruments.
For the second problem I have to know what is the correct estimator to be implemented in the case of serial correlation:
First difference IV (with gmm correction) or Fixed effect IV (to be more precise, I'm using Stata 9 xtivreg2)?

Thanks for your suggestions
Andrea Sisto
Italy


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