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: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests


From   Jana von Stein <JANAVS@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests
Date   Fri, 27 Apr 2012 09:21:27 -0400

Hello,

I have time-series panel (country) data and an endogenous independent variable. My sense is that the best way to handle this is to instrument, use a random effects model, and cluster on country. Does anyone know what command(s) I can use that will do (1) clustered s.e.'s and (2) postestimation tests (underidentification, Sargan, etc.) for instrument validity and identification?

Xtivreg2 is great, but -- unless I'm missing some extra code someone's programmed -- isn't available for random or between effects. Fixed effects (available in xtivreg2) are out of the question, as some of my instruments don't vary over time within country.

Comments/suggestions greatly appreciated,
Jana
*
*   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