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st: Method for first stage, in xtivreg


From   "Daniel Schalling" <daniel.schalling@uni-weimar.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Method for first stage, in xtivreg
Date   Sat, 10 Dec 2011 18:29:14 +0100

Thanks Kit, for your reply. 
You asked in the mentioned post "why would you need to 'roll your own' [1st
stage regression]".
The thing is, that I need the predicted values of the instrumented variable
to integrate those into a xtregar,re. I have no idea how to get the
predicted values of the instrument from the first stage which Stata uses
afterwards into the second stage estimation of xtivreg,re.
The only way that I came up with is to do a 1st stage estimation manually
and use the predicted values in the xtregar,re.

Thank you very much for any suggestion, Daniel

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