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From |
Austin Nichols <austinnichols@gmail.com> |

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 10:48:35 -0400 |

Jana von Stein <janavs@umich.edu>: The manual entry for -xtreg- provides a very good discussion, and the References section provides much additional reading. On Fri, Apr 27, 2012 at 10:44 AM, Jana von Stein <janavs@umich.edu> wrote: > Dear Austin, > > Ah, I see. That makes good sense. Is there a good stats source you might > point me to on this? This is sort of new territory for me and I want to make > sure I understand the statistics/theory behind what choices I'm making. > (I.e., on the u_i in particular and that [a] not okay to to xt R.E. in the > presence of non-orthogonal u_i; and [b] that it is kosher(ish) to ignore > panel structure and use R.E. ivreg? > > 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 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. * * 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/

**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>

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

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