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Re: st: xtivreg, fd,

From   Mark Schaffer <>
To, Antonio Rodrigues Andres <>
Subject   Re: st: xtivreg, fd,
Date   Fri, 30 Apr 2004 21:48:39 +0100 (BST)


Quoting Antonio Rodrigues Andres <>:

> Many thanks for your help Mark.
> I still get different output using ivreg and xtivreg, fd.
> iis country
> tis year
> sort country year
> tsset country year
> gen lsrt1=l.lsrt
> gen lsrt2=l2.lsrt
> gen dlsrt=d.lsrt
> gen dlsrt1=d.lsrt1
> ivreg dlsrt (dlsrt1=lsrt2)
> xtivreg lsrt (l.lsrt=l2.lsrt), fd

These look like different regressions, and this may be why the results are 
different (and even use different size samples, 244 obserations vs. 218).

The second regression uses the -fd- option, so everything is, I think, in 
first-differences.  It has one regressor, the lagged FD.  It is being 
instrumented with the 2nd lag of the FD.

The first regression has one regressor, the lagged FD.  It is being 
instrumented with the 2nd lag of the LEVEL.

If you re-do the first regression but use the 2nd lag of the FD as the 
(excluded) instrument, i.e., d.lsrt2, you might get the same results.


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008


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