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st: RE: RE: ivregress with cointegrated variables


From   "Podesta', Federico" <Federico.Podesta@amm.unitn.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: ivregress with cointegrated variables
Date   Thu, 9 Jul 2009 17:08:43 +0200

Many thanks Judith 

Could you clarify you answer of course?

Best
F 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Abrams, Judith
> Sent: Thursday, July 09, 2009 4:57 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: ivregress with cointegrated variables
> 
> 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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