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From |
JensMehrhoff@web.de |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Interdependent panel system |

Date |
Fri, 05 Sep 2008 09:39:06 +0200 |

Many thanks for your helpful suggestions! And sorry about posting twice, my fault - I wasn't sure the e-mail made it to the list at all, but still... But I don't understand why p(i,t) isn't endogeneous in (2). It is not uncorrelated to the composite error term b0(i)+v(i,t) as E[p(i,t)*(b0(i)+v(i,t))] = E[p(i,t)*b0(i)] + E[p(i,t)*v(i,t)], where p(i,t) being stationary could be written as p(i,t) = [a0(i)/(1-a1)] + SUM_s a1^s*u(i,t-s). Hence, the first expectation becomes E[p(i,t)*b0(i)] = b0(i) * [a0(i)/(1-a1)], which is not equal to zero (the second becomes zero, however). Thus, I intended to -reg- the first differences of q(i,t) on p(i,t), eliminating time-invarying variables and ending up with a consistent estimate of b1, the parameter of interest - d.p is a valid instrument for itself in d.q. Is there an error in my thinking? _______________________________________________________________________ Jetzt neu! Schützen Sie Ihren PC mit McAfee und WEB.DE. 30 Tage kostenlos testen. http://www.pc-sicherheit.web.de/startseite/?mc=022220 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Interdependent panel system***From:*"Austin Nichols" <austinnichols@gmail.com>

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