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st: RE: Problem with ivreg2 for Panel data


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Problem with ivreg2 for Panel data
Date   Sun, 3 Jun 2012 22:31:41 +0100

Abubakr,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Abubakr Saeed
> Sent: 03 June 2012 11:43
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Problem with ivreg2 for Panel data
> 
> 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.

You have the same problem that Benjamin had, discussed here:

http://www.stata.com/statalist/archive/2012-05/msg01304.html

Your only option is to use an estimator that exploits "between"
(cross-sectional)  variation.  Examples are the between estimator and
the random effects estimator.  Also...

> 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?

-ivreg2- on panel data estimates pooled OLS or IV.  -xtivreg- estimates
error components models, e.g., fixed effects, G2LS, EC2SLS etc.

> 2) I can not use xtivreg2, since explanatory variable is time 
> invariate, xtivreg2 drops it.

See above.  That's because -xtivreg2- estimates only fixed effects and
first differences models.

--Mark

> 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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