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st: tsset with xtivreg2


From   "Brent Fulton" <fultonb@berkeley.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: tsset with xtivreg2
Date   Fri, 26 Jun 2009 19:19:32 -0700

Hi, I am using Stata 9.2 comparing results between -areg- and -xtivreg2-
(with fixed effects), and I wasn't sure if I was coding tsset correctly. I
have one endogenous variable that I instrument with two IVs. 

In the -areg- model, the four year dummy variable (yr2, yr3, yr4, yr5)
parameter estimates closely correspond, as expected, to the mean difference
in the dependent variable as compared to its mean in the omitted year (yr1).
And these year dummies are very large--over an order of magnitude larger
than the other parameter estimates. 

In the -xtivreg2- model, the year dummy estimates dramatically changed and
do not seem plausible. Is my coding of tsset correct below: "year" is an
integer that has five values 1,2,3,4 and 5? 

Any other thoughts would be appreciated, too.


AREG code:
areg dep endogvar $ind1 yr2 yr3 yr4 yr5 [pw=wgt], absorb(id) cluster (var1)

XTIVREG2 code:
tsset id year
xtivreg2 dep (endogvar= iv1 iv2) $ind1 yr2 yr3 yr4 yr5 [pw=wgt],
cluster(var1) first fe liml

Thanks,
Brent Fulton
UC Berkeley

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