Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: GLS estimator for xtivreg?


From   "Bromiley, Philip" <bromiley@uci.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: GLS estimator for xtivreg?
Date   Thu, 8 Dec 2011 13:01:12 -0800

I have multiple observations per firm and a large number of firms.  Firms vary massively in scale. The model includes one endogenous variable.  I'd like to do xtivreg with a gls correction for the scale differences across firms.  As I understand it, the robust estimator fixes some problems with the standard errors, but leaves the large firms dominating the estimates of the betas.

It seems like I could either (i) do a pre-estimate using xtreg, xtivreg, or xtivreg2 to predict residuals which I then use to estimate firm standard deviations followed by a xtivreg2 with weights, or (ii) do a separate estimate of the instrument for the endogenous variable followed by xtgls using the instrument allowing for heteroskedasticity by panel.

Am I missing a better solution?  If not, which would you recommend?

Phil

Philip Bromiley
Dean's Professor of Strategic Management
Merage School of Business
University of California, Irvine
Irvine, CA  92697-3125
(949) 824-6657


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index