Dear all,
Comparing ivreg and xtivreg, I found different residuals (and the same
issue arises with reg and xtreg). Imagine you have a panel of
countries. The output of ivreg and xtivreg are equivalent if they are
expressed as
xi: ivreg y (l.y = l.x1 l.x2) x1 x2 i.country,
predict r, resid
xtivreg y (l.y = l.x1 l.x2) x1 x2 , i(country) fe
predict xb, xb
gen r=y-xb
where I have a dependent and 2 independent variables, and a fixed
effect for each country. However, there is a large difference in the
residuals. Why is this? I need the residuals to check for serial
correlation but I am not sure about the way to follow. The difference
is quite significant since for ivreg i get positive serial correlation
while xtivreg shows negative serial correlation.
If you consider the residuals from ivreg is more convenient, I would
appretiate your answer is clear enough so I can get them from ivreg
since I would like to avoid the presentation of the fixed effects from
the final regression output.
Cheers
Paulo
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