st: Accounting for panel nature in a mixed process IV model?
Wed, 24 Oct 2012 10:15:36 -0400
I have a model with first stage that is an ordered probit, and a
second stage that is a probit. For this I would use a routine like
-cmp-. This allows me to use mixed dependant data types as well as
IV's. But this data also has a panel structure. I can use something
like the linear -xtivreg-, but then I cannot take into account the
mixed processes that are present. As far as I am aware, there is no
routine that allows for mixed processes, IV's, and fixed effects. I
was thinking about centering the relevant variables before using
-cmp-, but does de-meaning only apply to linear fixed effects? Any
other thoughts on how I can incorporate the full suite of mixed data
types, fixed effects, and IV's?
As a side note, can one de-mean variables in an ordinary nonparametric
kernel regression to take into account of the panel nature of data?
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