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st: RE: Method for first stage, in xtivreg


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Method for first stage, in xtivreg
Date   Tue, 23 Feb 2010 23:45:51 +0100

<>

You can explore this question in lines 740 to 800 of xtivreg.ado for the
default G2SLS, if you have the stamina to work your way through it. Also see
http://www.stata.com/statalist/archive/2009-04/msg00397.html



HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hans Henrik
Sievertsen
Sent: Dienstag, 23. Februar 2010 22:40
To: statalist@hsphsun2.harvard.edu
Subject: st: Method for first stage, in xtivreg

hi all,
I am really sorry for reposting.
Is it impossible to find out what procedure xtivreg uses in the first
stage? B I I am really frustrated about xtivreg.
I run
xtivreg x1-x12 (x13=x14 x15), re first

And get the first stage results. That is fine, but I would like to know how
it estimates the first stage. I tried to replicate the first stage with OLS,
RE, BE, FE etc... I cannot get the same results? I wonder why?

Thanks in advance!

Regards
Hans

2010/2/14 Hans Henrik Sievertsen <hhsievertsen@gmail.com>

> Hi,
>
> I have a simple question
>
> In an xtivreg estimation with RE. How is the first stage estimated?
> Is it a GLS estimation as well?
>
> Thanks in advance,
> Hans
>
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