Re: st: xtivreg first stage

[Ari Dothan <ari.dothan@gmail.com>]

Thanks Kit, very much

On 1/6/11, Christopher F Baum <baum@bc.edu> wrote:
> <>
> I am running a fixed effects xtivreg.
> I am interested in the coefficients of the first-stage regression, and
> have, therefore, specified "fe, first".
> The result is a table in which the dependent variable is __000003 ,
> and in which all instruments appear, both included and excluded.
> Can anyone explain the meaning of this result?
>
> The depvar in that regression will be a tempvar if you have applied a
> timeseries operator, e.g. with grunfeld.dta,
>  xtivreg invest (D.mvalue=kstock) time, fe first
> will give __000003 as the depvar. The FSRs in any IV method are the
> regressions of each RHS endog on ALL exog, included and excluded.
>
> You might prefer the more elegant handling of FSRs in B-S-S ivreg2 and S-S
> xtivreg2, available from SSC. There are some options available there to save
> the FSRs as separate sets of estimates, etc. as well as additional
> diagnostics.
>
> Kit
>
>
>
> Kit Baum   |   Boston College Economics and DIW Berlin   |
> http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming   |
> http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata   |
> http://www.stata-press.com/books/imeus.html
>
>
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-- 
Ari Dothan
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