Of course.
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Podesta',
Federico
Sent: Thursday, July 09, 2009 10:54 AM
To: [email protected]
Subject: st: ivregress with cointegrated variables
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/
-----------
Confidentiality Notice: This email message, including any attachments, is for the sole use of the intended recipient(s) and may contain confidential and/or privileged information. If you are not the intended recipient(s), you are hereby notified that any dissemination, unauthorized review, use, disclosure or distribution of this email and any materials contained in any attachments is prohibited. If you receive this message in error, or are not the intended recipient(s), please immediately notify the sender by email and destroy all copies of the original message, including attachments.
*
* 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/
