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]

From |
Jana von Stein <janavs@umich.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 27 Apr 2012 10:44:38 -0400 |

Dear Austin,

Does the same apply to between effects? Thanks, Jana On Apr 27, 2012, at 10:25 AM, Austin Nichols wrote:

Jana von Stein <JANAVS@umich.edu>: For RE to be consistent, the effects u_i must be orthogonal to all predictors, so you can ignore the u_i and estimate a pooled model. I.e. use -ivreg2- (ignoring panel structure except for clustering on country and/or year to account for correlated errors) and sacrifice a little efficiency in favor of robustness against implausible assumptions.On Fri, Apr 27, 2012 at 9:21 AM, Jana von Stein <JANAVS@umich.edu>wrote:Hello, I have time-series panel (country) data and an endogenous independentvariable. My sense is that the best way to handle this is toinstrument, usea 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.) forinstrumentvalidity and identification?Xtivreg2 is great, but -- unless I'm missing some extra codesomeone'sprogrammed -- isn't available for random or between effects. Fixedeffects(available in xtivreg2) are out of the question, as some of myinstrumentsdon't vary over time within country.* * 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/

**Follow-Ups**:**Re: st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests***From:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests***From:*Jana von Stein <JANAVS@umich.edu>

**Re: st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests***From:*Austin Nichols <austinnichols@gmail.com>

- Prev by Date:
**RE: st: Regression with multiple age groups** - Next by Date:
**Re: st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests** - Previous by thread:
**Re: st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests** - Next by thread:
**Re: st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests** - Index(es):