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RE: st: xthtaylor without endogenous time-invariant variables?


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: xthtaylor without endogenous time-invariant variables?
Date   Wed, 18 Jan 2006 16:11:53 -0500

In my view, the HT estimator is useful when you have time-invariant
regressors and when *any* of the regressor (not necessarily one of the
time-invariant regressorss) is correlated with the individual effect.
Any correlation between any of the regressors and the individual effect
will make the RE estimator inconsistent.

I agree with Aurora that xthtaylor should not force you to specify
time-invariant regressors correlated with the individual effect.

I actually looked at the code for xthtaylor a few weeks ago. Only a
small modification was required to remove the restriction in question,
and it did not seem to have any adverse consequence on the functioning
of the program. But I did not spend much time on that, and I may have
missed something.

Jean Salvati 

> As far as I understand xttaylor helps in estimating a model 
> in which some of the time-invariant variables are correlated 
> with the unobserved time invariant effect, but you don't want 
> to run a FE model because this would get rid of such observed 
> fixed variables.
> 
> If you don't have any time-invariant variable that is 
> correlated with the unobserved error term then why not just 
> using standard Random Effects?
> 
> robert
> 
> On 1/18/06, Aurora MORDONU <AMORDONU@cris.unu.edu> wrote:
> > Hello,
> >
> >
> >
> > There were already two questions unanswered on the topic. I hope 
> > somebody managed to find the answer meanwhile...
> >
> >
> >
> > How can we use xthtaylor without endogenous time-invariant 
> variables? 
> > If no endogenous constant variable is specified, one gets 
> an error message.
> >
> >
> >
> > Thank you.
> >
> > Best regards,
> >
> >
> >
> > Aurora Mordonu
> >
> >
> > United Nations University-Comparative Regional Integration 
> Studies C/o 
> > Groetseminarie Poterrierei 72 8000 Brugge Belgium
> >
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