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Re: st: RE: IV with many fixed effects


From   Francie Streich <francie.streich@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: IV with many fixed effects
Date   Tue, 7 Aug 2012 07:16:46 -0500

I'm actually not using a traditional panel. I essentially want to run
an IV model in which I incorporate a bunch of dummies (but I don't
have a traditional panel variable and time variable).

For example, I have a large dataset of children (many siblings) and
want to include family-level fixed effects (i.e. dummy variables)
while instrumenting for children's receipt of a given treatment.

Any suggestions on this front?

THanks,
Francie

On Mon, Aug 6, 2012 at 4:44 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Francie,
>
> Stata's official xtivreg, and (from ssc) xtivreg2, will both estimate IV
> fixed effects models.
>
> HTH,
> Mark
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Francie Streich
>> Sent: 06 August 2012 22:35
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: IV with many fixed effects
>>
>> Hi all:
>>
>> I'm looking for advice on running an instrumental variables regression
> with
>> lots of fixed effects.
>>
>> I have so many fixed effects that the following code isn't feasible:
>> " xi: ivregress y x1 ( x2=z)  i.fe "
>>
>> Ideally I'd like to find some combination of areg and ivregress, but I
> haven't
>> been able to locate anything like this.
>>
>> Does anyone have any suggestions?
>>
>> Thanks,
>> Francie
>> *
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>
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