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st: Re: IV and fixed effects

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: IV and fixed effects
Date   Mon, 9 May 2005 07:11:47 -0400

Presumably you have too many fixed effects to implement directly. But you can always apply the demeaning transformation "by hand" to each variable--that is, by unit, express each variable as a deviation for the unit's mean--and then apply any appropriate estimator to the transformed variables. That is all that the xtivreg,fe estimator (or any estimator of the LSDV model, such as xtreg, fe or areg) is doing anyway. The egen mean function (which supports the bys unit: prefix) may be useful in doing this demeaning transformation.

Kit Baum, Boston College Economics

On May 9, 2005, at 2:33 AM, Juanhui wrote:

My survey data requires me to run fixed effect OLS regression with instrumental
variables. However, xtivreg doesn't support weights. ivreg doesn't support fixed
effects and areg doesn't support iv. Is there any way to combine them together
and get me finish my thesis?
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