# st: Re: tsset with xtivreg2

 From "Martin Weiss" <[email protected]> To <[email protected]> Subject st: Re: tsset with xtivreg2 Date Sat, 27 Jun 2009 10:55:26 +0200

-tsset- looks good to me. Results are usually invariant to its specification as long as the years are distinguisable...
```

***
webuse nlswork, clear
gen age2 = age*age
gen ttl_exp2 = ttl_exp*ttl_exp
gen tenure2 = tenure*tenure
gen byte black = race==2
tsset idcode year
xtreg ln_w grade age* ttl_exp tenure* black not_smsa south, fe
su year
replace year=year-r(min)
xtreg ln_w grade age* ttl_exp tenure* black not_smsa south, fe
***

HTH
Martin
_______________
```
----- Original Message ----- From: "Brent Fulton" <[email protected]>
```To: <[email protected]>
Sent: Saturday, June 27, 2009 4:19 AM
Subject: st: tsset with xtivreg2

```
```Hi, I am using Stata 9.2 comparing results between -areg- and -xtivreg2-
(with fixed effects), and I wasn't sure if I was coding tsset correctly. I
have one endogenous variable that I instrument with two IVs.

In the -areg- model, the four year dummy variable (yr2, yr3, yr4, yr5)
```
parameter estimates closely correspond, as expected, to the mean difference in the dependent variable as compared to its mean in the omitted year (yr1).
```And these year dummies are very large--over an order of magnitude larger
than the other parameter estimates.

In the -xtivreg2- model, the year dummy estimates dramatically changed and
do not seem plausible. Is my coding of tsset correct below: "year" is an
integer that has five values 1,2,3,4 and 5?

Any other thoughts would be appreciated, too.

AREG code:
```
areg dep endogvar \$ind1 yr2 yr3 yr4 yr5 [pw=wgt], absorb(id) cluster (var1)
```
XTIVREG2 code:
tsset id year
xtivreg2 dep (endogvar= iv1 iv2) \$ind1 yr2 yr3 yr4 yr5 [pw=wgt],
cluster(var1) first fe liml

Thanks,
Brent Fulton
UC Berkeley

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```
```
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```