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st: problems combining xtivreg and xtoverid or using xtivreg2 with random effects estimation


From   Schneng <daniel.schalling@uni-weimar.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: problems combining xtivreg and xtoverid or using xtivreg2 with random effects estimation
Date   Thu, 29 Sep 2011 08:08:49 -0700 (PDT)

--> I posted this earlier, but it didn't appear at the statalist, so I tried
to post it again. I hope that the first post doesn't pop up somewhere and
confuses you.


Dear Statalist,

for my Master’s Thesis I’m currently dealing with a Panel Data Analysis and
Instrumental Variables, in fact with a xtivreg. The problem that occurred
is, that there is no proper and adequate way to make a random effects
estimation. Xtivreg does one though, but the post estimation for relevant
and weak instruments doesn’t work well. I tried xtoverid, but this fails due
to the omitted variable problem (have a look here:
http://www.stata.com/statalist/archive/2011-09/msg00885.html). Even if I
drop all omitted variables xtoverid doesn’t work. Xtivreg2 on the other hand
can’t deal with random effects. 
In a few posts and e-mails on Statalist I read, that there is a xtivreg2
version developed, which can handle the random effects and the statistics
around that. 
Maybe this would solve my problem?
(http://statalist.1588530.n2.nabble.com/XTIVREG-first-stage-F-statistic-td5660893.html#a5661971) 

Thank you very very much.

Kind regards, Daniel Schalling.


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