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st: RE: -xtivreg-, endogeneity and attrition
> -----Original Message-----
> From: email@example.com
> [mailto:firstname.lastname@example.org] On Behalf Of
> Ekaterina Selezneva
> Sent: 24 May 2007 19:57
> To: email@example.com
> Subject: st: -xtivreg-, endogeneity and attrition
> > 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 data"...
> 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..
Baltagi's book on panel data has a short but useful discussion of
selection bias in panel data models. He cites Veerbeck and Nijman
(1992, International Economic Review) on "ignorable" and "nonignorable"
selection rules. In a nutshell, if you're lucky, you might have the
"ignorable" case, in which case standard panel estimation methods are
Hope this helps.
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
> 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,
> Ekaterina mailto:firstname.lastname@example.org
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