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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 > > > > > > * > > > * 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/ > * * 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/

**References**:**st: RE: RE: ivregress with cointegrated variables***From:*"Podesta', Federico" <Federico.Podesta@amm.unitn.it>

**st: RE: RE: RE: ivregress with cointegrated variables***From:*"Abrams, Judith" <abramsj@karmanos.org>

**Re: st: RE: RE: RE: ivregress with cointegrated variables***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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