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st: xtivreg2 doesn't like lagged endogenous RHS variables?


From   Hewan Belay <hewan_belay@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg2 doesn't like lagged endogenous RHS variables?
Date   Fri, 26 Aug 2011 15:31:34 -0700 (PDT)

Dear Statalist,

I want to make sure I understand the reason for a problem I had using the command for executing panel IV regression, xtivreg2. It appears that when asking the command to produce the first stage regressions along with the main results, where the endogenous RHS variable is used in its lag form, it balks. I was able to reproduce the problem using a stata dataset just for illustration:

webuse abdata, clear
xtivreg2 emp wage cap (L.indoutpt = n), fe first

when I do this, it produces only the first stage, but then gives the error message:

__000003 not found
and thus stops running any subsequent commands.

So I tried to get around the problem by doing this:

g L_indoutpt = L.indoutpt
xtivreg2 emp wage cap (L_indoutpt = n), fe first

This doesn’t produce any error message. Is there anything else I can do? The above solution would force me to cumbersomely rename various lagged variables in my do file.

Thanks,
Hewan


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