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st: multiple imputation and instrumental variables and several tests


From   Matthijs De Zwaan <m.dezwaan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: multiple imputation and instrumental variables and several tests
Date   Thu, 17 Dec 2009 19:02:30 +0100

Dear Stata-listers,

I have used King et al's Amelia II program for use with R to create
ten data sets that simulate the missing values in my panel data set. I
would like to analyse these data in Stata 10.1 using -miest-. (My
knowledge of R is rudimentary, and I do not have the time to learn R
and King's Zelig plugin, although it seems that those programs would
be able to give me what I want...)

I want to do an Instrumental Variables analysis to deal with
endogeneity issues, but -miest- is not compatible with -ivregress- or
-ivreg2-. Is there a way to do IV with imputed data sets, preferably a
straightforward one? If the re is no easy way, how should I go about
this? Can I run my analysis for each of the ten data sets, and then
combine the results in the same way that -miest- would combine a
command, ie averages for the coefficients, and variance within data
sets + variance across data sets for the standard errors? If so, can I
do this for the first and second stages of TSLS separately? How should
I deal with all the IV-diagnostics?

A related questions concerns the testing for serial and
cross-sectional correlation, and  cross-sectional heterogeneity. In a
standard situation I would do his using -xtserial- en -xttest2/3-. How
should I go about this for imputed data?

Thank you,
Matthijs de Zwaan
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