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st: xthtaylor

From   [email protected]
To   [email protected]
Subject   st: xthtaylor
Date   Sun, 8 Feb 2004 22:20:07 -0600

I am interested in a panel data model with individual effects
decomposition.  I want to estimate
     y(it)=b*x(it) + g*z(i) + a(i) + e(it)
and get estimates of the coefficients g.  XTHTAYLOR uses TSLS to estimate
this model, allowing for portions of x(it) and z(i) to be correlated with
the individual effect a(i).

Can I use XTHTAYLOR assuming no variables are correlated with a(i)?  In
other words, is the endog(varlist_endog) option required?  I don't yet have
Stata 8 so I can't just try this.

If not, does anyone have a reaction to this proposed method:
     1.  estimate y(it)=b*x(it) + a(i) + e(it)
     2.  regress ahat(i) on z(i) to estimate ghat, using bootstrap to get
standard errors right
Any citations or references would be appreciated.


--Alex Cavallo
(312) 322-0208  voice
(312) 322-0218  fax

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