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From |
Tunga Kantarcı <tungakantarci@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: xtivreg predictions from first stage |

Date |
Wed, 11 Apr 2012 19:56:02 +0200 |

Hi, I would like to ask a simple question. xtivreg first runs a fixed effects regression and then uses the predictions from the first stage as instruments in the second stage. But what are precisely the predictions in the first stage ? Suppose the auxiliary regression in the first stage is the fixed effects estimation of the following model: y_it = b_0 + b_1 * x_it + n_i + u_it So what are the predictions used in the second stage? estimated_b_0 + estimated_b_1 * x_it + estimated_n_i (prediction of y_it) ? or estimated_b_1 * (x_it - mean_x_i) (prediction of y_it - mean_y_i) ? My guess is that it is the second. Thanks in advance. * * 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/

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