st: Re: dynamic panel with selection and more endogeneous variables

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

Nicola,

It is crucial to put y(t-1) or t (something like that) in your RHS. For a 
large T, you can use -xtreg, fe-, it is known that the bias in the lagged 
dependent variable decreases with T. Two papers in Econometrica analyze 
this: Hahn and Kuersteiner (2002) and Alvarez and Arellano (2003). If you 
are interested in the z's coefficients maybe you can take a look of 
Hausman-Taylor estimator -help xthtaylor-, again you could modify to allow 
more instruments in the last step. For several exogenous variables, maybe 
you are taking care of the possible unobservable in the model then pooled 
least-square is an option. Anyway, if there is a few number of endogenous 
variables, I suggest you to simulate the model (as a reduced model) and see 
which estimator is better.

R.



----- Original Message ----- 
From: <nicola.baldini2@unibo.it>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, March 20, 2007 6:48 AM
Subject: st: dynamic panel with selection and more endogeneous variables



> I have the following PANEL model:
> Regime 1 (observed if z1 = 0): y = y(t-1) + exog
> Regime 2 (observed if z1 > 0): y = y(t-1) + exog + z1 + z2 + endog
> At t=0, all observations are in regime 1; changing from 1 to 2 depends on 
> y(t-1) and exog; changing from 2 to 1 not possible.
> y is a count variable, y(t-1) is past y (I am uncertain about using lagged 
> y or a depreciated stock up to t-1; in regime 2, alternatively, I can use 
> a "years-since regime 2" time counter), z1 and z2 are proportions 
> (endogenous; my key independent variables), endog are additional 
> endogenous variables, exog are exogenous. To put it differently, in regime 
> 1 all endogenous are 0, while in regime 2 z1 is not 0 (and remaining 
> endogenous may be 0 or not).
> All endogenous variables are almost time-invariant (e.g. 
> 0/0/0/0/0/0/0/0/50/50/50/50/50/50/50; 0/0/0/0/0/0/0/0/0/0/0/0/0/0/0; 
> 0/0/0/0/0/0/0/0/0/0/0/0/25/25/50; etc...).
> I have thought about xtivreg y (z1 z2 endog y(t-1) = exog).
> Do you have any suggestion or better idea?
>
> Nicola
>
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