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RE: st: RE: IV with many fixed effects


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: IV with many fixed effects
Date   Tue, 7 Aug 2012 16:25:13 +0100

Francie,

Both these commands accommodate basic FE models when no time dimension
is specified.  From the xtivreg help file:

    A panel variable must be specified. For xtivreg, fd, a time variable
must also be specified.
      Use xtset.

xtivreg2 is similar but also allows you to specify the panel identifier
with the ivar() option.  See the xtivreg2 help file.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Francie Streich
> Sent: 07 August 2012 13:17
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: IV with many fixed effects
> 
> 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
> >> *
> >> *   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
> >
> > We invite research leaders and ambitious early career researchers to
> > join us in leading and driving research in key inter-disciplinary
themes.
> > Please see www.hw.ac.uk/researchleaders for further information and
> > how to apply.
> >
> > 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:
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> *   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

We invite research leaders and ambitious early career researchers to 
join us in leading and driving research in key inter-disciplinary themes. 
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.

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/


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