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st: RE: RE: RE: ivregress with cointegrated variables


From   "Abrams, Judith" <abramsj@karmanos.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: ivregress with cointegrated variables
Date   Thu, 9 Jul 2009 13:54:23 -0400

It was a response to the wrong e-mail. My apologies for the confusions.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Podesta',
Federico
Sent: Thursday, July 09, 2009 11:09 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: ivregress with cointegrated variables


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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