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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: Problem with ivreg2 for Panel data |

Date |
Mon, 4 Jun 2012 14:13:21 +0100 |

Abubakr, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Abubakr Saeed > Sent: 04 June 2012 09:11 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Problem with ivreg2 for Panel data > > 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, In a word, yes. If you use the FE estimator, you will not be able to obtain an estimate of the coefficient on your time-invariant leverage measure. You need an estimator that uses between-variation to identify that coefficient. > 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. An estimation strategy you might consider is discussed somewhere in Angrist & Pischke, Mostly Harmless Econometrics (Princeton University Press 2009). (Sorry, I can't remember exactly where.) Part of the procedure in assembling the Hausman-Taylor estimator uses this procedure. It goes something like this: 1. Use the FE estimator to obtain estimates of beta_fe, the coefficients on the time-varying regressors x_it. This step will, by the way, also give you a J/overidentification test stat for your endogenous regressors. 2. Use the estimated beta_fe, the regressors x_it and the dependent variable y_it to calculate d_it = y_it - x_it'beta_fe 3. Apply the between estimator to d_it = f_i'deta_be + u_it where f_i is your time-invariant regressor (leverage, in your case) and delta_be is the corresponding coefficient. An advantage of this procedure - depending on your priors about how serious a problem unobserved time-invariant heterogeneity may be - is that you are using the between-variation only where it is absolutely essential, i.e., in the estimation of the coefficient delta_be. Cheers, Mark > > 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 > >> * > >> * 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/ > >> > > > > > > -- > > Heriot-Watt University is the Sunday Times Scottish > University of the > > Year 2011-2012 > > > > Heriot-Watt University is a Scottish charity registered > under charity > > number SC000278. > > > > > > * > > * 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/ > -- Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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**:**Re: st: RE: Problem with ivreg2 for Panel data***From:*Abubakr Saeed <abubakr.sd@gmail.com>

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