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Re: st: RE: Problem with ivreg2 for Panel data


From   Abubakr Saeed <abubakr.sd@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Problem with ivreg2 for Panel data
Date   Mon, 4 Jun 2012 09:11:08 +0100

Hi

Thank you very much Mark, I got your point and I have thoroughly
checked the thread that you suggested. I have one additional question
in this regard,

My endogenous variable is not time-invariate, which is leverage (I am
regressing performance against leverage and other variables), In fact,
one another important variable on RHS is time-invariate. In this case,
even then do I need to follow the same considerations,

or should I estimate with  xtivreg , and run xtoverid for J-stats, but
how can I get the Hausman test (that is achievable with ivendog with
ivreg2 for cross-sectional data) and F-stat.

Thank you for your useful suggestions.

Abubakr Saeed,


On 3 June 2012 22:31, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> 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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>
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