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st: Problem with ivreg2 for Panel data


From   Abubakr Saeed <abubakr.sd@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problem with ivreg2 for Panel data
Date   Sun, 3 Jun 2012 11:43:30 +0100

Hi,

I am facing trouble in IV estimation. Though in few other threads it
has already been discussed but it is still not clear to me. Basically,
I have the Panel data with the time invariate explanatory variable. I
have few questions in this regard:

1) Can I use ivreg2 for the Panel data, since Help file says: "ivreg2
may be used with time-series or panel data, in which case the data
must be tsset before using ivreg2"-- but running this after setting
tsset, I am not getting the same results as with xtivreg, why?, Is is
normal?

2) I can not use xtivreg2, since explanatory variable is time
invariate, xtivreg2 drops it.
3) I prefer to use xtivreg and I have estimated the equation with it
but how can I get the F-statistics, and Hansen-J statistics while
using xtivreg.


Any response will be much appreciated.

Regards,

Abubakr Saeed
PhD student
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