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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtivreg2 doesn't like lagged endogenous RHS variables?
Date   Sun, 28 Aug 2011 14:08:19 +0100

Hewan,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hewan Belay
> Sent: 26 August 2011 23:32
> To: Stata List
> Subject: st: xtivreg2 doesn't like lagged endogenous RHS variables?
> 
> 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.

It's a bug and I hope a fix should be available shortly.  In the
meantime, you can also get around it by using the ffirst option.  But
the bug fix should be ready soon - I've got it working and it just needs
some testing.

Cheers,
Mark

> 
> Thanks,
> Hewan
> 
> 
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