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st: kclass estimators, xtivreg2


From   "Alejandro Quijada" <aquijadab@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: kclass estimators, xtivreg2
Date   Wed, 28 Feb 2007 09:32:06 -0400

Dear statalist members,

Since I have a panel dataset with a problem of errors in variables (EV), I wanted to use the class of estimators proposed by Verbeek and Nijman (1993) and Deaton (1985) which try to correct this kind of problem. Adopting the notation of Verbeek and Nijman (1993), the estimator is given by:

B(alpha) = (mxy - alpha*sigma)/(Mxx - alpha*omega)

Where Omega and sigma represent the structure on the measurement errors. The correction parameter alpha for Verbeek and Nijman is aproximately T-1/T, while Deaton' correction parameter would be a constant alpha=1.

I think xtivreg2 is the indicated stata command to implement these two estimators, since it has the kclass option where you can put the correction parameter like fuller's option does. So, translating these two parameters into xtivreg2's language, I think they would be kclass=1 + (T-1/T) for Verbeek and Nijman and kclass=2 for Deaton. Is that right? if not, could you please guide me? I use stata 8.2.

Thank you very much for your help

Best regards,

Susana

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