Dear all,
I am using a panel dataset composed by 16 units observed over 21 time points. all variables measured as levels are affected by the non-stationarity problem. Accordingly, I have adopted mean group estimator (via xtpmg Stata module) for testing for co-integration. In particular I have used the following STATA syntax:
xtpmg d.y d.x1 d.x2, ec(ec) lr(l.y l.x1 l.x2) replace
My results reveal that the variables tend to return to a long-run equilibrium. Nevertheless, x2 appears as a endogenous variable. Consequently. I would like to use IV estimator. However no Stata command allows to estimate IV regression with panel integrated processes. Consequently, I mean to run IV regression in a repeated cross-section framework. In particular I would use the following syntax
bys year: ivregress y x2 (x1= x3)
but I wonder whether it is correct estimate such repeated cross-section models when we have already obtained evidence about cointegration. In other words can I test for cointegration without use IV estimator, on the one hand, and estimate IV repeated cross-section models, on the other hand?
Thanks a lot in adavance for any your hel
Best
Federico
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
