Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

[no subject]








> Not so. xtreg,fe is the least squares dummy variable model: OLS with
> unit-specific dummies. If OLS is inappropriate for that model due to
> endogeneity of one or more regressors, then taking care of the
> unobserved heterogeneity does not make it consistent. Use xtivreg or
> better yet xtivreg2 using an appropriate set of instruments. xtivreg2
> has extensive diagnostics for the validity and strength of
> instruments. It does not, however, deal with random effects models.
> But if your xtreg,fe has endogeneity, there's no way that xtreg,re on
> the same model would be appropriate either, as it assumes that the
> unit-specific random terms are also independent of the idiosyncratic
> error.
>
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
> On Feb 2, 2007, at 2:33 AM, Shams wrote:
>
> > In this regard, my understanding is that Fixed Effect
> > (FE) estimation (with xtreg, fe) would control for
> > both unobserved and endogeneity in the regressors and
> > consistent and efficient for large T and if there is
> > sufficient within panel variation. Alternatively,
> > random effect (RE) estimation (xtreg, re) would only
> > control for random unobserved heterogeneity but not
> > the endogeneity issue.
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


------------------------------------------------------
Passa a Infostrada. ADSL e Telefono senza limiti e senza canone Telecom
http://click.libero.it/infostrada02feb07



*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index