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st: IVREG2 + first stage + URGENT


From   "sistoand80" <sistoand80@libero.it>
To   "stata statta" <statalist@hsphsun2.harvard.edu>
Subject   st: IVREG2 + first stage + URGENT
Date   Fri, 11 May 2007 00:28:45 +0200

Dear all,
I want to find the answer to a simple question.
Consider a panel data such as

y(it) = a + a1*x1(it) + a2*x2(it) + a(i) + u(it)

where x2 is predetermined or endogenous. I found a potential  set of endogenous variable Z(it) to use as instrument. I know that applying ivreg to such equation provides consitent estimates of a, a1, a2 and u(it) [suppose all variable has been differenced to remove unobserved heterogeneity).

However, i'm also interested in estimating

x2(it) = b + b1*x1(it) + b2*Z(it) + a(i) + e(it),

the first stage of the iv regression. Is such an estimate consitently estimated by ivreg2, first?

Best,
Andrea Sisto
University of Eastern Piedmont (Italy)


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