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 on April 23, and its replacement, statalist.org is already up and running.


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

Re: st: Date: Tue, 17 Apr 2012 18:33:16 +0200


From   Marco Ventura <mventura@istat.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Date: Tue, 17 Apr 2012 18:33:16 +0200
Date   Tue, 17 Apr 2012 21:08:12 +0200 (CEST)

Hi Livio,
I think the procedure you propose is correct, of course it is a hard task to find so many intruments especially if you are looking for external instruments.
However, there is a way for testing whether your procedure is correct. Eviews provides you with the possibility to specify country specific coefficients. I don't know exactly what it does but you could run two estimates in eviews. In a first a one you specify the cross country varying coefficients and in the second you run a panel regression with the Di*x regressors. Finally you compare the results.
Hope this helps.
Regards, Marco


----- Messaggio originale -----
Da: "livio stracca" <livio.stracca@ecb.int>
A: statalist@hsphsun2.harvard.edu
Inviato: Martedì, 17 aprile 2012 18:33:28
Oggetto: st: Date: Tue, 17 Apr 2012 18:33:16 +0200

Hi,
I am estimating a model using IV on panel data, using the IVREG2
command. Does anybody know of a way to obtain mean group estimates, i.e.
estimates that are cross sectional averages and are not based on
imposing the same slope on all countries? 

I am not sure in particular if this would be a possible way. Assume that
the model is of the type Y=beta*x, and Di are country dummies (1 if the
country or unit is i, 0 otherwise). Then one could estimate the
following model using IVREG2,

Y=beta*x+beta1*x*D1+beta2*x*D2+...

(This of course implies that instruments are needed for each x*Di
variable, probably some kind of country-specific instrument z*Di).

Is the coefficient beta above the mean group estimator?

Grateful for your feedback, I think this question is of wide interest
for those who want to apply IV to panel data.






Any e-mail message from the European Central Bank (ECB) is sent in good faith but shall neither be binding nor construed as constituting a commitment by the ECB except where provided for in a written agreement. This e-mail is intended only for the use of the recipient(s) named above. Any unauthorised disclosure, use or dissemination, either in whole or in part, is prohibited. If you have received this e-mail in error, please notify the sender immediately via e-mail and delete this e-mail from your system.




*
*   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/

*
*   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