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st: RE: ivregress with cointegrated variables


From   "Abrams, Judith" <abramsj@karmanos.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivregress with cointegrated variables
Date   Thu, 9 Jul 2009 10:56:45 -0400

Of course.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Podesta',
Federico
Sent: Thursday, July 09, 2009 10:54 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: ivregress with cointegrated variables


Dear all,

I am using a panel dataset composed by 16 units observed over 21 time
points. all variables measured as levels are affected by the
non-stationarity problem. Accordingly, I have adopted mean group
estimator (via xtpmg Stata module) for testing for co-integration. In
particular I have used the following STATA syntax:

xtpmg d.y d.x1 d.x2, ec(ec) lr(l.y l.x1 l.x2) replace 

My results reveal that the variables tend to return to a long-run
equilibrium. Nevertheless, x2 appears as a endogenous variable.
Consequently. I would like to use IV estimator. However no Stata command
allows to estimate IV regression with panel integrated processes.
Consequently, I mean to run IV regression in a repeated cross-section
framework. In particular I would use the following syntax

bys year: ivregress y x2 (x1= x3)

but I wonder whether it is correct estimate such repeated cross-section
models when we have already obtained evidence about cointegration. In
other words can I test for cointegration without use IV estimator, on
the one hand, and estimate IV repeated cross-section models, on the
other hand?
   
Thanks a lot in adavance for any your hel 

Best 
Federico 

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