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st: RE: Endogenous Panel Estimation


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Endogenous Panel Estimation
Date   Wed, 12 Dec 2007 22:48:51 -0000

Tom,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Thomas Mayock
> Sent: 12 December 2007 22:43
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Endogenous Panel Estimation
> 
> Hello to all,
>     I am somewhat new to Stata, so please forgive my 
> ignorance should the answer to my question be painfully 
> obvious to the more experienced. 
>      I am estimating a random effects panel model, and I 
> believe that some of the time-invariant regressors are 
> endogenous.  I have experimented with xtivreg and xtivreg2, 
> but I have not figured out a (simple) way to test for 
> overidentifying restrictions or perform the standard 
> first-stage joint significance test.  I know these are 
> options for the fixed effects model.  Is there another 
> routine out there that may allow for these tests?

-xtoverid-, available from SSC (as soon as it's back up again!), will do
an overid test after xtivreg with random effects.

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


> I have 
> searched around the internet a bit, but I have yet to come 
> across anything.  I just wanted to try the board about before 
> cranking this out in Matlab.
>      Thanks in advance for any help.
> Best,
> Tom
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