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st: RE: -xtivreg-, endogeneity and attrition


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: -xtivreg-, endogeneity and attrition
Date   Fri, 25 May 2007 00:01:52 +0100

Ekaterina,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Ekaterina Selezneva
> Sent: 24 May 2007 19:57
> To: statalist@hsphsun2.harvard.edu
> 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
fine.

Hope this helps.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes


> 
>  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
>  Ekaterina
> 
> 
> --
> Best regards,
>  Ekaterina                            mailto:eka.selez@gmail.com
> 
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