Just to follow up on Kit's email,
From: Kit Baum <[email protected]>
Subject: st: Re: IV and fixed effects
Date sent: Mon, 9 May 2005 07:11:47 -0400
To: [email protected]
Send reply to: [email protected]
> 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.
Ben Jann's -center- will do this very nicely, with a casewise option
and support for aweights. Dealing with weights might be a bit
tricky, though - is it simply a case of demeaning using weighted
means? If so, aweights is good enough.
--Mark
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
>
> 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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Prof. Mark E. Schaffer
Director
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Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
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