Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: RE: RE: ivregress with cointegrated variables
Date   Fri, 10 Jul 2009 04:18:58 -0400

Judy,
 Perhaps you should consider vecm?
       - Regards,
             Bob


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: "Abrams, Judith" <abramsj@karmanos.org>
Date: Thursday, July 9, 2009 1:56 pm
Subject: st: RE: RE: RE: ivregress with cointegrated variables
To: statalist@hsphsun2.harvard.edu


> 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 
>  > 
>  > *
>  > *   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/
>  > 
>  > 
>  > -----------
>  > Confidentiality Notice: This email message, including any
>  > attachments, is for the sole use of the intended recipient(s) 
>  > and may contain confidential and/or privileged information. 
>  > If you are not the intended recipient(s), you are hereby 
>  > notified that any dissemination, unauthorized review, use, 
>  > disclosure or distribution of this email and any materials 
>  > contained in any attachments is prohibited. If you receive 
>  > this message in error, or are not the intended recipient(s), 
>  > please immediately notify the sender by email and destroy all 
>  > copies of the original message, including attachments.
>  > 
>  > *
>  > *   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/
>  > 
>  *
>  *   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/
>  
>  
>  -----------
>  Confidentiality Notice: This email message, including any 
> attachments, is for the sole use of the intended recipient(s) and may 
> contain confidential and/or privileged information. If you are not the 
> intended recipient(s), you are hereby notified that any dissemination, 
> unauthorized review, use, disclosure or distribution of this email and 
> any materials contained in any attachments is prohibited. If you 
> receive this message in error, or are not the intended recipient(s), 
> please immediately notify the sender by email and destroy all copies 
> of the original message, including attachments.
>  
>  *
>  *   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/
>  
*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index