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Re: st: xtivreg, fe , multiple reg with interaction effects

From   Stas Kolenikov <[email protected]>
To   [email protected]
Subject   Re: st: xtivreg, fe , multiple reg with interaction effects
Date   Wed, 3 Nov 2004 12:34:28 -0500

> 1. Sorry, my question wasn't spelled out correctly.
> The models I need to implement are the following:
> 1) Y = const + Z*betta + time_effects*theta + u
> 2) Y = const + Z*betta + time_effects*theta +
> time_effects*Fixed effects*delta + u

Are your time effects actually a variable like year? At any rate, I
don't think that this thing is easily estimable, because you don't
have fixed effects to generate your interaction terms. You can try
this out within the random effect framework with -gllamm-.

> Below is the output. When doing usual OLS fixed
> effects regression, only two of the coefficients are
> insignificant. In 2SLS regression results look ok, but
> in 2SLS with fixed effects significance of all
> coefficients dies out (z-statistics are around zero).

Still no output, but I would suspect that this is a matter of
inefficient estimation: both fixed effect and IV regressions, in
general, lead to inefficient estimates compared to OLS, so you should
not be surprised to see vast standard errors.

Stas Kolenikov
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