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


From   "Podesta', Federico" <Federico.Podesta@amm.unitn.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: RE: RE: ivregress with cointegrated variables
Date   Fri, 10 Jul 2009 10:36:13 +0200

Many thanks Bob.
But, Judith wrote: "It was a response to the wrong e-mail. My apologies for the confusions."  

So, could you give me your opinion about my original question (see below)? 

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 



 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Robert A Yaffee
> Sent: Friday, July 10, 2009 10:19 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: RE: RE: ivregress with cointegrated variables
> 
> 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 
> >  > 
> >  > *
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