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st: RE: partial()-option of xtivreg2


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: partial()-option of xtivreg2
Date   Thu, 20 Dec 2007 08:56:22 -0500

Mark--
I don't want to make any general claims about identification of
parameters, but it seems to me that if you can regress y* on X1* and
X2*, where v*=v(t)-v(t-1), then you can partial out X2* _after_
first-differencing to estimate the equivalent regression reporting
only the coefficients on X1* --which I think argues for a warning
message on -xtivreg2- rather than an error message.

> > On Dec 20, 2007 8:01 AM, Schaffer, Mark E
> > <M.E.Schaffer@hw.ac.uk> wrote:
> > > Jessica,

> > > I think the problem is a misleading message by xtivreg2
> > rather than a bug per se.  Partialling-out is appropriate for
> > fixed effects models, but I'm not sure what it would mean
> > when combined with first differencing.
> > >
> > > I'm inclined to make -partial- incompatible with -fd- so
> > that combining them causes -xtivreg2- to exit with an
> > informative error.  What do you think?  Or should it mean
> > that the partialling-out is applied to the data BEFORE
> > first-differencing?
> > >
> > > --Mark
> > > (-xtivreg2- author)
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