Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: XTIVREG question


From   Mark Schaffer <[email protected]>
To   [email protected], Stephanie Zobay <[email protected]>
Subject   Re: st: XTIVREG question
Date   Sat, 15 Jun 2002 21:43:57 +0100 (BST)

You are using both xtreg and xtivreg to estimate "random effects" 
models.  The two-step procedure you are using for 2SLS is incorrect 
and is not equivalent to Stata's default "random effects" estimator 
for xtivreg, G2SLS.

Have a look at the manual and at a panel data book like Baltagi's to 
understand how to do 2SLS with random effects by hand correctly.

--Mark

Quoting Stephanie Zobay <[email protected]>:

> Dear Listers,
>  I am not understanding the difference between manually doing
> a 2SLS and
> letting Stata do it with xtivreg.
>  I estimated each of 2 endogenous variables separately, saving
> the predicted
> values:
> 
>  xtreg srev2 unemp pctmdcaid pctprsner gsp2 popgrow
> . predict srevhat
> (option xb assumed; fitted values)
> 
> . xtreg lrev2 pcy1 tel pctschkid pctincpcrime taxbur
> . predict lrevhat
> (option xb assumed; fitted values)
> 
> Then I ran my regression using the predicted values for the
> endogenous
> variables:
> . xtreg staid2 srevhat lrevhat fdstss2 fdstot2 fedss2 fedoth2
> lbal
> 
> The result I get is completely different than if I use:
> xtivreg staid2 fdstss2 fdstot2 fedss2 fedoth2 lbal (srev2
> lrev2 = unemp
> pctmdcaid pctprsner gsp2 popgrow pcy1 tel pctschkid
> pctincpcrime taxbur
> fdstss2 fdstot2 fedss2 fedoth2 lbal)
> 
> What is the difference and how do I know which result is
> correct?
> 
> Stephanie
> 
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



Prof. Mark Schaffer
Director, CERT
Department of Economics, School of Management
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.som.hw.ac.uk/ecomes
________________________________________________________________

DISCLAIMER:

This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index