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st: xtivreg, xtiveg2 and time invariant excluded instruments


From   "sdm1" <sdm1@york.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg, xtiveg2 and time invariant excluded instruments
Date   Sat, 25 Sep 2010 16:55:08 +0100

I'm trying to estimate a panel fixed effects model (152 individuals observed
annually over a 3 year period).  As you'll see from the Stata 11 SE output
below, xtivreg produces some estimates but xtivreg2 seems to think that
there are too few instruments.  I am puzzled by this and why xtivreg drops
the exogenous regressor lneedHPandG from the model.  Are either of these
'puzzles' related to the fact that both excluded instruments (llonepenhx
lpoppucarx) are time invariant?

Thanks.

Steve

. xtivreg  lallcancersdsmr lneedHPandG yr78dv yr89dv
(lg2_expphHPandG=llonepenhx lpoppucarx), fe 

Fixed-effects (within) IV regression         Number of obs      =
456
Group variable: pct_codenum                  Number of groups   =
152

R-sq:  within  =      .                      Obs per group: min =
3
       between = 0.2229                                     avg =
3.0
       overall = 0.1503                                     max =
3

                                             Wald chi2(3)       =
6.14e+06
corr(u_i, Xb)  = -0.6050                     Prob > chi2        =
0.0000

----------------------------------------------------------------------------
--
lallcancer~r |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
lg2_expphH~G |  -.2661569   .1438617    -1.85   0.064    -.5481207
.0158069
 lneedHPandG |  (omitted)
      yr78dv |   .0135551   .0156954     0.86   0.388    -.0172073
.0443176
      yr89dv |   .0165872   .0237433     0.70   0.485    -.0299488
.0631232
       _cons |   4.116574   .3622872    11.36   0.000     3.406504
4.826644
-------------+--------------------------------------------------------------
--
     sigma_u |  .15213838
     sigma_e |  .04114184
         rho |  .93185438   (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
F  test that all u_i=0:     F(151,301) =     9.87         Prob > F    =
0.0000
----------------------------------------------------------------------------
--
Instrumented:   lg2_expphHPandG
Instruments:    lneedHPandG yr78dv yr89dv llonepenhx lpoppucarx
----------------------------------------------------------------------------
--

. xtivreg2 lallcancersdsmr lneedHPandG yr78dv yr89dv
(lg2_expphHPandG=llonepenhx lpoppucarx), fe 
equation not identified; must have at least as many instruments not in
the regression as there are instrumented variables

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