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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: constant variable as IV in panel? |

Date |
Wed, 10 Aug 2011 11:06:55 -0400 |

Abhimanyu Arora <abhimanyu.arora1987@gmail.com>: You report having variation across years within panel, so (a) should work: "For all months in a year, take the same (annual) value of the yearly variables" but include year and month dummies and cluster by both panel and year using -ivreg2- on SSC. See refs in that program's help file. On Wed, Aug 10, 2011 at 6:41 AM, Abhimanyu Arora <abhimanyu.arora1987@gmail.com> wrote: > Dear statalist > I think this is related to the posts by Matthias Opfinger and Austin > Nichols with an addundum and would like request your intellectually > stimulating views/references. The panel model I am estimating has a > monthly frequency (no IV). But I also have yearly variables (in my > case I have almost 20 years) for each cross section, which I would > definitely like to include. The options that I am considering are the > following > > (a) Related to Matthias' idea-For all months in a year, take the same > (annual) value of the yearly variables > (b) Year dummies-subsumes all (extraneous) yearly variables. But I am > taking a trend. > (c) Take the yearly value for the 6th month and impute the monthly > variables from the series...a risky one > > Would be great to have your views and concerns or better alternatives. > (Could hierarchical models come to the rescue?) > > With best regards > Abhimanyu Arora > > > > > > On Thu, Jun 23, 2011 at 2:29 PM, Austin Nichols <austinnichols@gmail.com> wrote: >> Matthias Opfinger <opfinger@vwl.uni-hannover.de>: >> In such a case, you are using only between variation, and it is more >> intellectually honest to run a cross-sectional regression for one >> point in time, or possibly to compute a long difference using a pair >> of years (estimating a cross-sectional regression in changes rather >> than in levels), depending on which assumptions are more plausible >> (plausibility comes from theory not from the data). >> >> On Thu, Jun 23, 2011 at 5:22 AM, Matthias Opfinger >> <opfinger@vwl.uni-hannover.de> wrote: >>> Hi everyone, >>> >>> I want to estimate a panel model with observations on approx. 90 countries >>> for five points in time between 1980 and 2005. However, one of my >>> explanatory variables is endogeneous. The only possible instrument is a >>> variable on climatic zones. So it would be the same for each country over >>> all points in time. How can I put this into my model? Do I just put the same >>> value for each country over all the points in time and then use xtivreg? >>> >>> Best >>> Matthias * * 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/

**Follow-Ups**:**Re: st: constant variable as IV in panel?***From:*Abhimanyu Arora <abhimanyu.arora1987@gmail.com>

**References**:**Re: st: constant variable as IV in panel?***From:*Abhimanyu Arora <abhimanyu.arora1987@gmail.com>

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