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st: -xtivreg-, endogeneity and attrition

From   Ekaterina Selezneva <>
Subject   st: -xtivreg-, endogeneity and attrition
Date   Thu, 24 May 2007 20:57:21 +0200

> Just a couple of things to add to what Uli said above.

> - If I'm not mistaken, dropping the singletons (one-observation groups)
> will affect the estimate of the constant.  This is because Stata's
> xtreg,fe uses between-group variation to get the constant (I find this
> approach a little odd, but maybe it's just me).

> - If you want fixed effects estimates that drop singletons, and you
> don't need an estimate of the constant, you can use -xtivreg2-.  As well
> as panel IV, -xtivreg2- will do fixed effects estimates for the case
> where all regressors are exogenous.

> Cheers,
> Mark

 Dear Mark,
 thanks a lot for Your answer.

 Could I ask, please, for some other piece of advise?
 If I understand it in the right way, xtivreg2 is an extension of
 xtivreg... the former giving access to wider diagnostic techniques..

 Than, I've read that xtivreg "handles exogenously unbalanced panel

 In my model I have some variables that are suspected to be
 endogenous.. moreover, analyzing attiers I've found that they have
 characteristics different from those left in my panel.. so, attrition
 is also an issue to correct for..

 question: 1. whether it is reasonable to start with "fighting with
 endogeneity" and than move to attrition correction..
 2. if I understand correctly, inclusion of the inverse Mills ratio,
 estimated from the selection equation, into such a model would not
 provide consistent beta estimates. is there a way to incorporate
 both, endogeneity and attrition correction in the same model? (for
 example, saying that decision to stay in the panel next year is an
 endogenous variable)

 I will appreciate any comment on these issues,

 thank You for Your time

Best regards,

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