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From |
W Zang <W.L.Zang@Bradford.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: re: xtivreg |

Date |
Thu, 06 May 2010 10:12:48 +0100 |

Thanks a lot for all helpful responses. Linda Quoting Austin Nichols <austinnichols@gmail.com>:

W Zang : As an example of Kit's point, consider: clear all u http://fmwww.bc.edu/ec-p/data/macro/abdata tsset id year xtivreg2 ys k (n=l2.n l3.n), fe endog(n) qui ivreg2 ys k (n=l2.n l3.n) ivendog n qui xi:ivreg2 ys k (n=l2.n l3.n) i.id ivendog n testparm _I* where the last line demonstrates the need for FE, and the endog test does not support the use of the exclusion restriction--but that does not necessarily mean that n is exogenous; with a better exclusion restriction, the endog test could produce a different result. Remember that the endog test xtivreg2 ys k (n=l2.n l3.n), fe endog(n) just compares xtivreg2 ys k (n=l2.n l3.n), fe to xtivreg2 ys k n (=l2.n l3.n), fe not to another specification with better instruments. On Wed, May 5, 2010 at 10:07 AM, Christopher Baum <baum@bc.edu> wrote:<>If the XT-IV model is properly specified, and fixed effects arenecessary to ensure consistency, the pooled IV results areinconsistent, and any test based upon them is invalid. You shouldbe able to use the same syntax with endog(y2) on the ivreg2command, but I am not surprised that the results differ. In thepresence of unobserved heterogeneity, the pooled IV will be junk.KitKit Baum | Boston College Economics and DIW Berlin |http://ideas.repec.org/e/pba1.htmlAn Introduction to Stata Programming |http://www.stata-press.com/books/isp.htmlAn Introduction to Modern Econometrics Using Stata |http://www.stata-press.com/books/imeus.htmlOn May 5, 2010, at 9:37 AM, W Zang wrote:Dear KitThank you very much for your previous reply. I have anotherquestion and wonder if you could help me please. Before estimatingthe two simultaneous equations, I did the endogeneity test of y2.xtivreg2 y1 (y2 = x4 x5) x1 x2 x3, fe endog (y2) I also performed Durbin-Wu-Hausman test. ivreg2 y1 (y2 = x4 x5) x1 x2 x3 ivendog (y2)I got two different results. y2 is proved to be exogeneous in thefirst case and y2 is endogenous in the second case. Did I dosomething wrong? Which test should I follow?Best Wishes, LindaQuoting Kit Baum <baum@bc.edu>:<> Linda said I am trying to use xtivreg to estimate two-stage least squares simultaneous equations. I have two endogenous variables Y1 and Y2. Y1 and Y2 are affected by different exogenous variables. Y1 is affected by X1, X2, X3 and Y2 is affected by X1, X4, X5. Y1 = a0 + a1*Y2 + a2*X1 + a3*X2 + a4*X3 Y2 = b0 + b1*Y1 + b2*X1 + b3*X4 + b4*X5 xtivreg y1 (y2 = x4 x5) x1 x2 x3, fe xtivreg y2 (y1 = x2 x3) x1 x4 x5, feThe syntax is the same as it would be for a non-panel IVestimator. Just list the variables excluded from each equationwithin the parenthesized expression.* * 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/

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**References**:**st: re: xtivreg***From:*Kit Baum <baum@bc.edu>

**Re: st: re: xtivreg***From:*W Zang <W.L.Zang@Bradford.ac.uk>

**Re: st: re: xtivreg***From:*W Zang <W.L.Zang@Bradford.ac.uk>

**Re: st: re: xtivreg***From:*Christopher Baum <baum@bc.edu>

**Re: st: re: xtivreg***From:*Austin Nichols <austinnichols@gmail.com>

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